M-Estimates of Autoregression with Random Coefficients

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.

Keywords

Autoregression model with random coefficients, least squares estimate, M-estimate, asymptotic relative efficiency, Tukey distribution

Received

30.09.2018

Publication date

30.09.2018

Number of characters

554

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GOST	Goryainov A., Goryainov V. M-Estimates of Autoregression with Random Coefficients // Avtomatika i Telemekhanika – 2018. – Issue 8 C. 50-65 [Electronic resource]. URL: http://ras.jes.su/ait/s207987840000494-2-1-en (circulation date: 25.04.2024). DOI: 10.31857/S000523100001247-5
MLA	Goryainov, Aleksandr, Goryainov, Vladimir "M-Estimates of Autoregression with Random Coefficients." Avtomatika i Telemekhanika 8 (2018):50-65. DOI: 10.31857/S000523100001247-5
APA	Goryainov A., Goryainov V. (2018). M-Estimates of Autoregression with Random Coefficients. Avtomatika i Telemekhanika (8), pp.50-65 DOI: 10.31857/S000523100001247-5

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