On the stability of estimation of AR(1) coefficient in the presence of contaminated exponential innovations

DOI10.16929/AS/2014.647.59MaRDI QIDQ485972zbMATH OpenOpenAlexFDO

Authors L. Atil, Cherifa Belkacem, H. Fellag

Publication date 14 January 2015

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.as/1418310399, https://semanticscholar.org/paper/00932ce10e3c7ae79ef2b9dd617d035c1758fe81

zbMATH Keywords

estimationstabilityautoregressiveexponentialcontamination

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(4)

• Likelihood analysis of a first‐order autoregressive model with exponential innovations
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• Robustness of estimation of first-order autoregressive model under contaminated uniform white noise

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