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

Discussiones Mathematicae Probability and Statistics (2009)

- Volume: 29, Issue: 1, page 53-68
- ISSN: 1509-9423

## Access Full Article

top## Abstract

top## How to cite

topKarima Nouali. "Robustness of estimation of first-order autoregressive model under contaminated uniform white noise." Discussiones Mathematicae Probability and Statistics 29.1 (2009): 53-68. <http://eudml.org/doc/277017>.

@article{KarimaNouali2009,

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.},

author = {Karima Nouali},

journal = {Discussiones Mathematicae Probability and Statistics},

keywords = {autoregressive model; bias; MSE; robustness; generalized Beta distribution; generalized beta distribution; tables},

language = {eng},

number = {1},

pages = {53-68},

title = {Robustness of estimation of first-order autoregressive model under contaminated uniform white noise},

url = {http://eudml.org/doc/277017},

volume = {29},

year = {2009},

}

TY - JOUR

AU - Karima Nouali

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

JO - Discussiones Mathematicae Probability and Statistics

PY - 2009

VL - 29

IS - 1

SP - 53

EP - 68

AB - 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.

LA - eng

KW - autoregressive model; bias; MSE; robustness; generalized Beta distribution; generalized beta distribution; tables

UR - http://eudml.org/doc/277017

ER -

## References

top- [1] J. Andĕl, On AR(1) processes with exponential white noise, Communication In Statistics, A, Theory And Methods 5 (17) (1988), 1481-1495. Zbl0639.62082
- [2] C.B. Bell and E.P. Smith, Inference for non-negative autoregressive schemes, Communication In statistics, Theory And Methods 15 (1986), 2267-2293. Zbl0604.62087
- [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. Zbl1002.62067
- [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. Zbl1037.62090
- [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. Zbl06404768
- [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. Zbl0375.62047

## NotesEmbed ?

topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.