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ArticleOriginal scientific text

Title

Approximate bias for first-order autoregressive model with uniform innovations. Small sample case

Authors 1, 1

Affiliations

  1. Department of Mathematics, Faculty of Sciences, University of Tizi-Ouzou, Tizi-Ouzou, 15000 Algeria

Abstract

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.

Keywords

ENG
autoregressive model, bias, outlier, uniform distribution

Bibliography

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  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.
Discussiones Mathematicae Probability and Statistics
2002/22/1-2
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Pages:
15-26
Main language of publication
English
Received
2002-03-15
Published
2002

DOI: 10.7151/dmps.1028

Exact and natural sciences