Highly Robust Estimation of the Autocorrelation Coefficient
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F14%3A00431671" target="_blank" >RIV/67985807:_____/14:00431671 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Highly Robust Estimation of the Autocorrelation Coefficient
Original language description
The classical autocorrelation coefficient estimator in the time series context is very sensitive to the presence of outlying measurements in the data. This paper proposes several new robust estimators of the autocorrelation coefficient. First, we consider an autoregressive process of the first order AR(1) to be observed. Robust estimators of the autocorrelation coefficient are proposed in a straightforward way based on robust regression. Further, we consider the task of robust estimation of the autocorrelation coefficient of residuals of linear regression. The task is connected to verifying the assumption of independence of residuals and robust estimators of the autocorrelation coefficient are defined based on the Durbin-Watson test statistic for robust regression. The main result is obtained for the implicitly weighted autocorrelation coefficient with small weights assigned to outlying measurements. This estimator is based on the least weighted squares regression and we exploit its as
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
The 8th International Days of Statistics and Economics
ISBN
978-80-87990-02-5
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
588-597
Publisher name
Melandrium
Place of publication
Slaný
Event location
Prague
Event date
Sep 11, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000350226700058