CONFIDENCE INTERVALS FOR ROBUST ESTIMATES OF THE FIRST ORDER AUTOREGRESSIVE PARAMETER

DOI10.1111/j.1467-9892.1981.tb00322.xzbMath0486.62037OpenAlexW2094015823MaRDI QIDQ3946971

Jeffrey B. Birch, R. Douglas Martin

Publication date: 1981

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1981.tb00322.x

zbMATH Keywords

time seriesleast squarescontaminationrobust estimatesHuberbisquareGM-estimatorsgeneralized M-estimatorconservative percent pointsestimators of transition parameterfirst order autoregressive parameterLAB-deficiencies

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05) Statistical tables (62Q05)

Related Items (3)

Infrence for non-negative autoregressive schemes ⋮ Inference About the First-Order Autoregressive Coefficient ⋮ On the power of robust tests in analysis of covariance

Cites Work

• Confidence Interval Robustness with Long-Tailed Symmetric Distributions
• Confidence Intervals for Bisquare Regression Estimates
• Robust regression using iteratively reweighted least-squares
• Estimation in a first order autoregressive scheme with non—normal stable disturbances
• Robust Estimation of the First-Order Autoregressive Parameter
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data
• Robust Estimation of a Location Parameter

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