Geodesic
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 
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     title = {Robustness of estimation of first-order autoregressive model under contaminated uniform white noise},
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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/