منابع مشابه
Estimation of AR Parameters in the Presence of Additive Contamination in the Infinite Variance Case
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 GM-estimation. 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 ...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2018
ISSN: 0378-4371
DOI: 10.1016/j.physa.2018.02.102