Search by keyword: "random coefficient autoregressive model"
The influence of anomalous observations on the least squares estimate of the parameter of the autoregressive equation with random coefficient
| Authors: Goryainov V.B., Goryainova E.R. | Published: 04.04.2016 |
| Published in issue: #2(65)/2016 | |
| DOI: 10.18698/1812-3368-2016-2-16-24 | |
| Category: Mathematics and Mechanics | Chapter: Mathematical Logics, Algebra, and Theory of Numbers | |
| Keywords: random coefficient autoregressive model, influence functional, gross-error sensitivity, additive outliers, replacement outliers | |
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 | |