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JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2015 Number 5, Pages 37–41 (Mi vmumm265)

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The uniform consistency of sign estimate for the parameter of an AR(1)-model for observations with outliers

G. N. Chmutin

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: An AR(1) model is considered in the scheme of data contamination by independent additive outliers. It is proved that the sign estimation of the parameter of the model is uniformly consistent with respect to the distribution of outliers.

Key words: autoregression, sign estimation, uniform consistency.

UDC: 519.234.2

Received: 13.06.2013


 English version:
Moscow University Mathematics Bulletin, Moscow University Måchanics Bulletin, 2015, 70:5, 216–219

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