A Modified Weighted Symmetric Estimator for a Gaussian First-order Autoregressive Model with Additive Outliers

A Modified Weighted Symmetric Estimator for a Gaussian First-order Autoregressive Model with Additive Outliers

Guttman and Tiao [1], and Chang [2] showed that the effect of outliers may cause serious bias in estimating autocorrelations, partial correlations, and autoregressive moving average parameters (cited in Chang et al. [3]). This paper presents a modified weighted symmetric estimator for a Gaussian fir...

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Bibliographic Details
Main Author: Wararit PANICHKITKOSOLKUL
Format: Article
Language:English
Published: Walailak University 2012-07-01
Series:Walailak Journal of Science and Technology
Subjects:
Parameter estimation
autoregressive model
recursive median
exponentially weighted moving average
additive outliers
Online Access:http://wjst.wu.ac.th/index.php/wjst/article/view/305

Internet

http://wjst.wu.ac.th/index.php/wjst/article/view/305

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