کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1147673 | 957783 | 2011 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Robust estimation of AR coefficients under simultaneously influencing outliers and missing values
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Robust estimation of AR coefficients under simultaneously influencing outliers and missing values Robust estimation of AR coefficients under simultaneously influencing outliers and missing values](/preview/png/1147673.png)
چکیده انگلیسی
A family of robust estimators for coefficients of Gaussian AR(p) time series under simultaneously influencing distortions of two types: outliers and missing values, is proposed. The estimators are based on special properties of the Cauchy probability distribution; consistency and the asymptotic normality of these estimators are proven. An approximate solution of the problem of minimization of the asymptotic variance within the proposed family of estimators is found. Performance of the proposed estimators is illustrated for simulated time series and for real data sets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 141, Issue 9, September 2011, Pages 3276–3288
Journal: Journal of Statistical Planning and Inference - Volume 141, Issue 9, September 2011, Pages 3276–3288
نویسندگان
Yuriy S. Kharin, Valeriy A. Voloshko,