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

100%

Nouali K., Fellag H.

Discussiones Mathematicae Probability and Statistics

2002

tom 22

nr 1-2

15-26

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.

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

88%

Nouali K.

Discussiones Mathematicae Probability and Statistics

2009

tom 29

nr 1

53-68

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.

Refined rates of bias convergence for generalized L-Statistics in the i.i.d. case

63%

Anastassiou G. A., Rychlik T.

Applicationes Mathematicae

1999

tom 26

nr 4

437-455

Using tools of approximation theory, we evaluate rates of bias convergence for sequences of generalized L-statistics based on i.i.d. samples under mild smoothness conditions on the weight function and simple moment conditions on the score function. Apart from standard methods of weighting, we introduce and analyze L-statistics with possibly random coefficients defined by means of positive linear functionals acting on the weight function.

Ograniczanie wyników

2 Discussiones Mathematicae Probability and Statistics

1 Applicationes Mathematicae

2 Nouali K.

1 Anastassiou G. A.

1 Fellag H.

1 Rychlik T.

1 2009

1 2002

1 1999

Wyniki wyszukiwania

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

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

Refined rates of bias convergence for generalized L-Statistics in the i.i.d. case