The median estimate of the autoregressive location parameter |
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| Authors: | Jeffrey T. Terpstra |
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| Affiliation: | North Dakota State University , Fargo, 58105, North Dakota |
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| Abstract: | A median-based estimate of the location (i.e. intercept) parameter in an autoregressive time series is considered. Specifically, the asymptotic joint distribution of the location estimate and a location invariant estimate of the AR parameter vector is derived. Applications of this result to rank-based estimates are briefly discussed and illustrated with a numerical example. |
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| Keywords: | autoregressive time series location parameter median estimate rank-based estimates robust |
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