Trimmed mean and bounded influence estimators for the parameters of the ar(1) process |
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| Authors: | PJ De Jongh T De Wet |
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| Institution: | Institute for Maritime Technology , P O Box 181, Simon's Town, 7995, South Africa |
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| Abstract: | Trimmed mean type estimators are proposcd for estimating the parameters of an AR(1) process. Thcsc definitions are then extended to bounded influence trimmed mcans in analogy to those in the regression case. The behaviour of the estimators are studied numerically under two outlicr generating models. |
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| Keywords: | quantiles trimmed means bounded influence autoregression robustness outliers Monte Carlo |
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