Robustness of estimation of first-order autoregressive model under contaminated uniform white noise
Discussiones Mathematicae. Probability and Statistics, Tome 29 (2009) no. 1, pp. 53-68
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The first-order autoregressive model with uniform innovations is considered. In this paper, we study the bias-robustness and MSE-robustness of modified maximum likelihood estimator of parameter of the model against departures from distribution of white noise. We used the generalized Beta distribution to describe these departures.
Keywords:
autoregressive model, bias, MSE, robustness, generalized Beta distribution
@article{DMPS_2009_29_1_a3,
author = {Nouali, Karima},
title = {Robustness of estimation of first-order autoregressive model under contaminated uniform white noise},
journal = {Discussiones Mathematicae. Probability and Statistics},
pages = {53--68},
publisher = {mathdoc},
volume = {29},
number = {1},
year = {2009},
language = {en},
url = {http://geodesic.mathdoc.fr/item/DMPS_2009_29_1_a3/}
}
TY - JOUR AU - Nouali, Karima TI - Robustness of estimation of first-order autoregressive model under contaminated uniform white noise JO - Discussiones Mathematicae. Probability and Statistics PY - 2009 SP - 53 EP - 68 VL - 29 IS - 1 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/DMPS_2009_29_1_a3/ LA - en ID - DMPS_2009_29_1_a3 ER -
%0 Journal Article %A Nouali, Karima %T Robustness of estimation of first-order autoregressive model under contaminated uniform white noise %J Discussiones Mathematicae. Probability and Statistics %D 2009 %P 53-68 %V 29 %N 1 %I mathdoc %U http://geodesic.mathdoc.fr/item/DMPS_2009_29_1_a3/ %G en %F DMPS_2009_29_1_a3
Nouali, Karima. Robustness of estimation of first-order autoregressive model under contaminated uniform white noise. Discussiones Mathematicae. Probability and Statistics, Tome 29 (2009) no. 1, pp. 53-68. http://geodesic.mathdoc.fr/item/DMPS_2009_29_1_a3/