Minimum Distance Estimation in AR(1)-processes

Michel Piot ()
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Michel Piot: University of Bern

Methodology and Computing in Applied Probability, 2002, vol. 4, issue 2, 123-141

Abstract: Abstract In this paper a new minimum distance estimator is defined in case that the residuals of an AR(1)-process are contaminated normally distributed. This estimator is asymtotically normally distributed and in most cases less biased than the least square estimator. Furthermore, a method is presented to numerically calculate the minimum distance estimator as a root of an implicit function.

Keywords: autoregressive processes; minimum distance estimation; contaminated normal distribution; asymptotic behavior (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1020620222477

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