M-Estimates of Autoregression with Random Coefficients
- Авторлар: Goryainov A.V.1, Goryainov V.B.2
-
Мекемелер:
- Moscow State Aviation Institute
- Bauman State Technical University
- Шығарылым: Том 79, № 8 (2018)
- Беттер: 1409-1421
- Бөлім: Stochastic Systems
- URL: https://journals.rcsi.science/0005-1179/article/view/150980
- DOI: https://doi.org/10.1134/S0005117918080040
- ID: 150980
Дәйексөз келтіру
Аннотация
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.
Авторлар туралы
A. Goryainov
Moscow State Aviation Institute
Хат алмасуға жауапты Автор.
Email: agoryainov@gmail.com
Ресей, Moscow
V. Goryainov
Bauman State Technical University
Email: agoryainov@gmail.com
Ресей, Moscow
Қосымша файлдар
