New Estimator for an Unknown Mean Gaussian AR(1) Process with Additive Outliers

被引：0

作者：

Panichkitkosolkul, Wararit ^{[1
]}

机构：

[1] Thammasat Univ, Fac Sci & Technol, Dept Math & Stat, Pathum Thani 12121, Thailand

来源：

CHIANG MAI JOURNAL OF SCIENCE | 2010年 / 37卷 / 01期

关键词：

parameter estimation; AR(1) model; recursive median; additive outliers;

D O I：

暂无

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This paper presents a new estimator for an unknown mean Gaussian AR(1) process with additive outliets. We apply the recursive median adjustment to the weighted symmetric estimator of Park and Fuller [1]. The mean square error (MSE) is derived. Simulation is used to investigate the behavior of this new estimator ((rho) over cap (RMD-uv)) compared to the weighted symmetric estimator ((rho) over cap (uv)) and the recursively mean adjusted weighted symmetric estimator ((rho) over cap (R-uv)) proposed by Niwitpong [2]. Simulation results have shown that the proposed estimator, provides a MSE lower than those of (rho) over cap (uv) and (rho) over cap (R-uv) for almost all situations.

引用

页码：14 / 20

页数：7

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