Robust estimators for nearly nonstationary AR(1) models : Notas de Matemática, 60

In this paper we consider the asymptotic behaviour of robust estimators with a high breakdown point and high efficiency for nearly nonstationary AR(1) processes. The asymptotic distribution of these estimators is derived. Simulated percentiles of these distributions are given. We also perform a Mont...

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Detalles Bibliográficos
Autor principal: Ferretti, Nélida Elena
Formato: Publicacion seriada
Lenguaje:Inglés
Publicado: 1997
Materias:
Matemática
Asymptotic efficiency
Autoregressive processes
Monte Carlo
Nearly nonstationary
Robust estimation
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/171048
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-171048
record_format dspace
spelling I19-R120-10915-1710482024-10-02T20:11:30Z http://sedici.unlp.edu.ar/handle/10915/171048 Robust estimators for nearly nonstationary AR(1) models : Notas de Matemática, 60 Ferretti, Nélida Elena 1997 2024-10-02T16:45:40Z en Matemática Asymptotic efficiency Autoregressive processes Monte Carlo Nearly nonstationary Robust estimation In this paper we consider the asymptotic behaviour of robust estimators with a high breakdown point and high efficiency for nearly nonstationary AR(1) processes. The asymptotic distribution of these estimators is derived. Simulated percentiles of these distributions are given. We also perform a Monte Carlo study to compare the robustness properties of these estimators with the least squares and M-estimators. The Monte Carlo results suggest that the estimators investigated possess good robustness properties over the least squares and M-estimators. Material digitalizado en SEDICI gracias a la colaboración de la Biblioteca del Departamento de Matemática de la Facultad de Ciencias Exactas (UNLP). Facultad de Ciencias Exactas Publicacion seriada Publicacion seriada http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Matemática
Asymptotic efficiency
Autoregressive processes
Monte Carlo
Nearly nonstationary
Robust estimation
spellingShingle Matemática
Asymptotic efficiency
Autoregressive processes
Monte Carlo
Nearly nonstationary
Robust estimation
Ferretti, Nélida Elena
Robust estimators for nearly nonstationary AR(1) models : Notas de Matemática, 60
topic_facet Matemática
Asymptotic efficiency
Autoregressive processes
Monte Carlo
Nearly nonstationary
Robust estimation
description In this paper we consider the asymptotic behaviour of robust estimators with a high breakdown point and high efficiency for nearly nonstationary AR(1) processes. The asymptotic distribution of these estimators is derived. Simulated percentiles of these distributions are given. We also perform a Monte Carlo study to compare the robustness properties of these estimators with the least squares and M-estimators. The Monte Carlo results suggest that the estimators investigated possess good robustness properties over the least squares and M-estimators.
format Publicacion seriada
Publicacion seriada
author Ferretti, Nélida Elena
author_facet Ferretti, Nélida Elena
author_sort Ferretti, Nélida Elena
title Robust estimators for nearly nonstationary AR(1) models : Notas de Matemática, 60
title_short Robust estimators for nearly nonstationary AR(1) models : Notas de Matemática, 60
title_full Robust estimators for nearly nonstationary AR(1) models : Notas de Matemática, 60
title_fullStr Robust estimators for nearly nonstationary AR(1) models : Notas de Matemática, 60
title_full_unstemmed Robust estimators for nearly nonstationary AR(1) models : Notas de Matemática, 60
title_sort robust estimators for nearly nonstationary ar(1) models : notas de matemática, 60
publishDate 1997
url http://sedici.unlp.edu.ar/handle/10915/171048
work_keys_str_mv AT ferrettinelidaelena robustestimatorsfornearlynonstationaryar1modelsnotasdematematica60
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