Robust parameter estimation of regression model with AR(p) error terms |
| |
Authors: | Y Tuaç Y Güney B Şenoğlu O Arslan |
| |
Institution: | Department of Statistics, Faculty of Science, Ankara University, Ankara, Turkey |
| |
Abstract: | In this article, we consider a linear regression model with AR(p) error terms with the assumption that the error terms have a t distribution as a heavy-tailed alternative to the normal distribution. We obtain the estimators for the model parameters by using the conditional maximum likelihood (CML) method. We conduct an iteratively reweighting algorithm (IRA) to find the estimates for the parameters of interest. We provide a simulation study and three real data examples to illustrate the performance of the proposed robust estimators based on t distribution. |
| |
Keywords: | Autoregressive stationary process Conditional maximum likelihood Linear regression Non-normal distributions Robust estimation |
|