On robust estimation in the first order autoregressive processes

被引：7

作者：

Haddad, JN ^{[1
]}

机构：

[1] Amer Univ Beirut, Beirut, Lebanon

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2000年 / 29卷 / 01期

关键词：

autoregressive processes; least squares estimate; generalized M-estimate; median substitute estimate; additive outliers;

D O I：

10.1080/03610920008832467

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Estimation of the parameter phi of an autoregressive process of order one, {X-t}, is considered. An estimation procedure referred to as the Median Substitute (MS) method based on the empirical median of {Xt-1Xt} is proposed. phi(MS), the MS estimate of phi, is proven to be consistent and asymtotically normal. A simulation study is carried out to show the viability of the proposed method in comparison with some other robust procedures.

引用

页码：45 / 54

页数：10

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