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

DOI10.1080/03610929608831783MaRDI QIDQ4337211zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Recommendations

• Estimation of the first-order autoregressive model with contaminated exponential white noise
• Mean estimation bias in least squares estimation of autoregressive processes
• The Bias of Autoregressive Coefficient Estimators
• Robustness of estimation of first-order autoregressive model under contaminated uniform white noise

Cites work

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

This page was built for publication: Bias of the lse estimator of the first order autoregressive model under tukey contamination

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4337211)