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

• Autorzy: Karima Nouali , Hocine Fellag
• Języki publikacji: EN

Abstrakty

EN

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

EN

autoregressive model; bias; outlier; uniform 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: 2002
• Tom: 22
• Numer: 1-2
• Strony: 15-26

Daty

wydano

2002

otrzymano

2002-03-15

Twórcy

autor

Karima Nouali

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

autor

Hocine Fellag

• 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.

Identyfikatory

DOI

10.7151/dmps.1028