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

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