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Comparison of Maximum Likelihood and Least Absolute Deviate Estimation in Random Coefficients Autoregressive Model
Authors: Goryainov V.B., Goryainova E.R. | Published: 17.06.2015 |
Published in issue: #3(60)/2015 | |
DOI: 10.18698/1812-3368-2015-3-20-30 | |
Category: Mathematics and Mechanics | Chapter: Probability Theory and Mathematical Statistics | |
Keywords: random coefficient autoregressive model, least absolute deviations estimate, maximum likelihood estimate, asymptotic relative efficiency |