Approximate bias for first-order autoregressive model with uniform innovations. Small sample case
Karima Nouali, Hocine Fellag (2002)
Discussiones Mathematicae Probability and Statistics
Similarity:
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.