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
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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
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- [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
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