University of Tehran
Journal of Sciences, Islamic Republic of Iran
10161104
16
4
2005
12
01
Estimation of AR Parameters in the Presence of Additive Contamination in the Infinite Variance Case

31668
EN
Journal Article
1970
01
01
If we try to estimate the parameters of the AR process {Xn} using the observed process {Xn+Zn} then these estimates will be badly biased and not consistent but we can minimize the damage using a robust estimation procedure such as GMestimation. The question is does additive contamination affect estimates of “core” parameters in the infinite variance case to the same extent that it does in the finite variance case? We will see that if the contamination {Zn} has higher tails than the core process {Xn}, the estimation of parameters of the core process will not be greatly affected; that at least its consistency is preserved.
https://jsciences.ut.ac.ir/article_31668_603eb488e84fd80267809708d4109555.pdf