Bias of the lse estimator of the first order autoregressive model under tukey contamination

DOI10.1080/03610929608831783zbMATH Open0900.62492OpenAlexW2041976402MaRDI QIDQ4337211FDOQ4337211

Authors: H. Fellag, Ryszard Zieliński 

Publication date: 12 November 1998

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929608831783

Recommendations

• Estimation of the first-order autoregressive model with contaminated exponential white noise
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• The Bias of Autoregressive Coefficient Estimators
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zbMATH Keywords

biasleast square estimator\(\varepsilon\)-contaminationautoregression coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Stochastic Models of Economic Fluctuations
• One-Sample One-Sided StudentT-Test Under Contaminants
• A New Procedure for Group Sequential Analysis in Clinical Trials

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