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Abstrakty
The first-order autoregressive model with uniform innovations is considered. The approximate bias of the maximum likelihood estimator (MLE) of the parameter is obtained. Also, a formula for the approximate bias is given when a single outlier occurs at a specified time with a known amplitude. Simulation procedures confirm that our formulas are suitable. A small sample case is considered only.
Słowa kluczowe
Kategorie tematyczne
Rocznik
Tom
Numer
Strony
15-26
Opis fizyczny
Daty
wydano
2002
otrzymano
2002-03-15
Twórcy
autor
- Department of Mathematics, Faculty of Sciences, University of Tizi-Ouzou, Tizi-Ouzou, 15000 Algeria
autor
- Department of Mathematics, Faculty of Sciences, University of Tizi-Ouzou, Tizi-Ouzou, 15000 Algeria
Bibliografia
- [1] J. Andel, On AR(1) processes with exponential white noise, Communication in Statistics, A, Theory and Methods 17 (5) (1988), 1481-1495.
- [2] C.B. Bell and E.P. Smith, Inference for non-negative autoregressive schemes, Communication in Statistics, Theory and Methods 15 (8) (1986), 2267-2293.
- [3] P. Bickel and K. Doksum, Mathematical Statistics: Basic Ideas and Selected Topics, Wiley: New York 1977.
- [4] Y.J. Choi, Kolmogorov-Smirnov Test with Nuisance Parameters in Uniform Case, M.S. Thesis, University of Washington 1980.
- [5] A.J. Fox, Outliers in time series, J. Roy. Stat. Soc. 34 (B) (1972), 350-363.
Typ dokumentu
Bibliografia
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bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1028