Robustness of estimation of first-order autoregressive model under contaminated uniform white noise

• Autorzy: Karima Nouali
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

autoregressive model; bias; MSE; robustness; generalized Beta distribution

Kategorie tematyczne

• 62M10: Time series, auto-correlation, regression, etc.

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae Probability and Statistics
• Rocznik: 2009
• Tom: 29
• Numer: 1
• Strony: 53-68

Daty

wydano

2009

otrzymano

2009-03-17

poprawiono

2009-08-19

Twórcy

autor

Karima Nouali

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

Bibliografia

• [1] J. Andĕl, On AR(1) processes with exponential white noise, Communication In Statistics, A, Theory And Methods 5 (17) (1988), 1481-1495.
• [2] C.B. Bell and E.P. Smith, Inference for non-negative autoregressive schemes, Communication In statistics, Theory And Methods 15 (1986), 2267-2293.
• [3] H. Fellag and M. Ibazizen, Estimation of the first-order autoregressive model with contaminated exponential white noise, Journal of Mathematical Sciences 106 (1) (2001), 2652-2656.
• [4] K. Nouali and H. Fellag, Approximate bias for first-order autoregressive model with uniform innovations. Small sample case, Discussiones Mathematicae, Probability and Statistics 22 (2002), 15-26.
• [5] K. Nouali and H. Fellag, Testing on the first-order autoregressive model with uniform innovations under contamination, Journal of Mathematical Sciences 131 (3) (2005), 5657-5663.
• [6] R. Zieliński, Robustness: A quantitative approach, Bulletin de l'Académie Polonaise des Sciences, Serie Sciences Math., Astronomie et Physique XXV (12) (1977), 1281-1286.

Identyfikatory

DOI

10.7151/dmps.1107