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Effect of correlation on the estimation of a mean in the presence of spurious observations |
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| Authors: | Irwin Guttman G C Tiao |
| Abstract: | This paper examines the effect of correlation of observations on estimators of a mean which are designed to guard against the possibility of spurious observations (that is, observations generated in a manner not intended). The mean squared error, premium and protection of these estimators are evaluated and discussed for some specific correlation structures. |
| Keywords: | Outliers spuriousness premium protection equi-correlation autocorrelation mean-shift spuriousity robustness median trimmed mean AMS 1970 subject classifications: Primary 62M10 secondary 62F10 62J05 |