Robust time series analysis: a survey
Norbert Stockinger, Rudolf Dutter (1987)
Kybernetika
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Displaying similar documents to “AR models with uniformly distributed noise”
Robust time series analysis: a survey
Robustness of estimation of first-order autoregressive model under contaminated uniform white noise
Karima Nouali (2009)
Discussiones Mathematicae Probability and Statistics
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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.
On unequally spaced AR(1) process
Jan Šindelář, Jiří Knížek (2003)
Kybernetika
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Discrete autoregressive process of the first order is considered. The process is observed at unequally spaced time instants. Both least squares estimate and maximum likelihood estimate of the autocorrelation coefficient are analyzed. We show some dangers related with the estimates when the true value of the autocorrelation coefficient is small. Monte-Carlo method is used to illustrate the problems.
On variance-covariance components estimation in linear models with AR(1) disturbances.
Witkovský, V. (1996)
Acta Mathematica Universitatis Comenianae. New Series
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On the efficiency of procedures for estimation of parameters in ARIMA models.
Bala Chandra (1984)
Trabajos de Estadística e Investigación Operativa
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The paper discusses the implementation of the Newton-Raphson iterative method of estimation of parameters in the autoregressive integrated moving average (ARIMA) models. The efficiency of this method has been compared with other well known methods of estimation.