The sparse variance contamination model
نویسندگان
چکیده
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: Statistics
سال: 2020
ISSN: 0233-1888,1029-4910
DOI: 10.1080/02331888.2020.1823394