Estimation of AR Parameters in the Presence of Additive Contamination in the Infinite Variance Case
If we try to estimate the parameters of the AR process {Xn} using the observed process {Xn+Zn} then these estimates will be badly biased and not consistent but we can minimize the damage using a robust estimation procedure such as GM-estimation. The question is does additive contamination affect est...
Saved in:
| Format: | Article |
|---|---|
| Language: | English |
| Published: |
University of Tehran
2005-12-01
|
| Series: | Journal of Sciences, Islamic Republic of Iran |
| Online Access: | https://jsciences.ut.ac.ir/article_31668_603eb488e84fd80267809708d4109555.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|