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Avtomatika i Telemekhanika, 2016, Issue 9, Pages 84–95 (Mi at14551)  
This article is cited in 4 scientific papers (total in 4 papers)

Stochastic Systems, Queuing Systems

Comparison of efficiency of estimates by the methods of least absolute deviations and least squares in the autoregression model with random coefficient

A. V. Goryainova, E. R. Goryainovab

a Moscow State Aviation Institute, Moscow, Russia
b National Research University Higher School of Economics, Moscow, Russia
Full-text PDF (1618 kB) Citations (4)
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Abstract: For the model of autoregression with a random coefficient, the estimate by the least absolute deviations (LAD) method was proved to be consistent and asymptotically normal. For the asymptotic relative efficiency of the estimate by the LAD method as compared to the least squares method, an analytical expression was obtained. For the case where the innovative field of the autoregression process has the Tukey distribution, consideration was given to the behavior of the relative asymptotic efficiency.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 22.10.2014
English version:
Automation and Remote Control, 2016, Volume 77, Issue 9, Pages 1579–1588
DOI: https://doi.org/10.1134/S000511791609006X
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Goryainov, E. R. Goryainova, “Comparison of efficiency of estimates by the methods of least absolute deviations and least squares in the autoregression model with random coefficient”, Avtomat. i Telemekh., 2016, no. 9, 84–95; Autom. Remote Control, 77:9 (2016), 1579–1588
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2016/i9/p84
    • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Full-text PDF :54
    References:44
    First page:27
     
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