Assessing One-Step-Ahead Prediction Error Based on the Median for First-Order Autoregressive Models in the Presence Of Outliers

DOI10.1080/03610926.2011.556295zbMath1270.62126OpenAlexW2000425827MaRDI QIDQ2920073

L. Billard, Jiin-Huarng Guo

Publication date: 23 October 2012

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

Full work available at URL: https://doi.org/10.1080/03610926.2011.556295

zbMATH Keywords

Monte Carlo simulationmean square errorconditional prediction error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)

Cites Work

• A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes
• On Estimating Conditional Mean-Squared Prediction Error in Autoregressive Models
• Robust estimation for the coefficient of a first order autoregressive process
• Likelihood analysis of a first‐order autoregressive model with exponential innovations
• On Assessing Prediction Error in Autoregressive Models

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