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Avtomatika i Telemekhanika, 2018, Issue 8, Pages 50–65 (Mi at15122)  
This article is cited in 4 scientific papers (total in 4 papers)

Stochastic Systems

M-estimates of autoregression with random coefficients

A. V. Goryainova, V. B. Goryainovb

a Moscow State Aviation Institute, Moscow, Russia
b Bauman State Technical University, Moscow, Russia
Full-text PDF (1357 kB) Citations (4)
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Abstract: 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 $\rho$-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.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 30.03.2017
English version:
Automation and Remote Control, 2018, Volume 79, Issue 8, Pages 1409–1421
DOI: https://doi.org/10.1134/S0005117918080040
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Goryainov, V. B. Goryainov, “M-estimates of autoregression with random coefficients”, Avtomat. i Telemekh., 2018, no. 8, 50–65; Autom. Remote Control, 79:8 (2018), 1409–1421
Citation in format AMSBIB
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    • 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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