Robustness of estimation of first-order autoregressive model under contaminated uniform white noise
Karima Nouali
Discussiones Mathematicae Probability and Statistics, Tome 29 (2009), p. 53-68 / Harvested from The Polish Digital Mathematics Library
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The first-order autoregressive model with uniform innovations is considered. In this paper, we study the bias-robustness and MSE-robustness of modified maximum likelihood estimator of parameter of the model against departures from distribution of white noise. We used the generalized Beta distribution to describe these departures.

Publié le : 2009-01-01
EUDML-ID : urn:eudml:doc:277017 
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Karima Nouali. Robustness of estimation of first-order autoregressive model under contaminated uniform white noise. Discussiones Mathematicae Probability and Statistics, Tome 29 (2009) pp. 53-68. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1107/

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