ArticleOriginal scientific text
Title
Robustness of estimation of first-order autoregressive model under contaminated uniform white noise
Authors 1
Affiliations
- 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. 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
Bibliography
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Pages:
53-68
Main language of publication
English
Received
2009-03-17
Accepted
2009-08-19
Published
2009
DOI: 10.7151/dmps.1107
Exact and natural sciences