Robust estimation for the coefficient of a first order autoregressive process |
| |
Authors: | Jiin-Huarng Guo |
| |
Institution: | Department of Mathematical Sciences , Chinese Air Force Academy , Kung-Shan, R.O.C, Taiwan |
| |
Abstract: | Nonparametric methods, Theil's method and Hussain's method have been applied to simple linear regression problems for estimating the slope of the regression line.We extend these methods and propose a robust estimator to estimate the coefficient of a first order autoregressive process under various distribution shapes, A simulation study to compare Theil's estimator, Hus-sain's estimator, the least squares estimator, and the proposed estimator is also presented. |
| |
Keywords: | Theil's estimator Hussain's estimator least squares estimator computer simulation |
|
|