Robust estimation for the coefficient of a first order autoregressive process

DOI10.1080/03610920008832468zbMath1122.62325OpenAlexW1980374045MaRDI QIDQ4493675

Jiin-Huarng Guo

Publication date: 10 August 2000

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

Full work available at URL: https://doi.org/10.1080/03610920008832468

zbMATH Keywords

computer simulationleast squares estimatorHussain's estimatorTheil's estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (3)

Assessing One-Step-Ahead Prediction Error Based on the Median for First-Order Autoregressive Models in the Presence Of Outliers ⋮ New goodness-of-fit tests for the error distribution of autoregressive time-series models ⋮ Inference About the First-Order Autoregressive Coefficient

Cites Work

• A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes
• Estimates of Regression Parameters Based on Rank Tests
• Unnamed Item

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