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.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1028,
author = {Karima Nouali and Hocine Fellag},
title = {Approximate bias for first-order autoregressive model with uniform innovations. Small sample case},
journal = {Discussiones Mathematicae Probability and Statistics},
volume = {22},
year = {2002},
pages = {15-26},
zbl = {1037.62090},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1028}
}
Karima Nouali; Hocine Fellag. Approximate bias for first-order autoregressive model with uniform innovations. Small sample case. Discussiones Mathematicae Probability and Statistics, Tome 22 (2002) pp. 15-26. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1028/
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