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

DOI10.16929/AS/2014.647.59zbMATH Open1309.62049OpenAlexW1579426956MaRDI QIDQ485972FDOQ485972

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

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zbMATH Keywords

estimationstabilityautoregressiveexponentialcontamination

Mathematics Subject Classification ID

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

Cited In (4)

• Likelihood analysis of a first‐order autoregressive model with exponential innovations
• Estimation of the first-order autoregressive model with contaminated exponential white noise
• Testing on the first-order autoregressive model with contaminated exponential white noise finite sample case
• Robustness of estimation of first-order autoregressive model under contaminated uniform white noise

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