Open AccessRobust Trend Estimation for AR(1) Disturbances
Author(s) -
Roland Fried,
Ursula Gather
Publication year - 2016
Publication title -
österreichische zeitschrift für statistik
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.342
H-Index - 9
ISSN - 1026-597X
DOI - 10.17713/ajs.v34i2.407
Subject(s) - autoregressive model , autocorrelation , estimator , statistics , mathematics , estimation , partial autocorrelation function , econometrics , robust statistics , noise (video) , transformation (genetics) , time series , computer science , autoregressive integrated moving average , artificial intelligence , engineering , biochemistry , chemistry , systems engineering , image (mathematics) , gene
We discuss the robust estimation of a linear trend if the noise follows an autoregressive process of first order. We find the ordinary repeated median to perform well except for negative correlations. In this case it can be improved by a Prais-Winsten transformation using a robust autocorrelation estimator.