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Linear trimmed means for the linear regression with AR(1) errors model |
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| Authors: | Yi-Hsuan Lai Lin-An Chen Chau-Shyun Tang |
| Institution: | 1. Department of Applied Mathematics, Hsuan Chuang University, Hsinchu, Taiwan;2. Institute of Statistics, National Chiao Tung University, Hsinchu, Taiwan;3. Department of Management Science, National Chiao Tung University, Hsinchu, Taiwan |
| Abstract: | For the linear regression with AR(1) errors model, the robust generalized and feasible generalized estimators of Lai et al. (2003) of regression parameters are shown to have the desired property of a robust Gauss Markov theorem. This is done by showing that these two estimators are the best among classes of linear trimmed means. Monte Carlo and data analysis for this technique have been performed. |
| Keywords: | Gauss Markov theorem Generalized least squares estimator Linear trimmed mean Robust estimator |
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