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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| Formato: | Publicacion seriada |
| Lenguaje: | Inglés |
| Publicado: |
1997
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| Materias: | |
| Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/171048 |
| Aporte de: |
| Sumario: | 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. |
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