M-Estimates of Autoregression with Random Coefficients

Publication type Article
Status Published
Affiliation: Moscow State Aviation Institute
Address: Russian Federation
Affiliation: Bauman State Technical University
Address: Russian Federation
Journal nameAvtomatika i Telemekhanika
EditionIssue 8

Asymptotic normality of the M-estimates of the autoregression parameters of the autoregression equation with random coefficients was proved. A method to calculate the asymptotic relative efficiency of the M-estimate with ρ-function relative to the least squares estimate was presented for the first-order equation. The method is based on the expansion of the asymptotic variance of the M-estimate into a converging series. The M-estimate was shown to be superior to the least-squares estimate if the regenerative process has a contaminated Gaussian distribution.

KeywordsAutoregression model with random coefficients, least squares estimate, M-estimate, asymptotic relative efficiency, Tukey distribution
Publication date30.09.2018
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