Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/114180
Title: A comparison of some estimators of time series autocorrelations
Authors: Chan, W.-s. 
Wei, W.W.S.
Keywords: Additive outlier
ARMA model
Innovational outlier
Jackknife estimate
Robust estimate
Trimmed estimate
Issue Date: Aug-1992
Citation: Chan, W.-s.,Wei, W.W.S. (1992-08). A comparison of some estimators of time series autocorrelations. Computational Statistics and Data Analysis 14 (2) : 149-163. ScholarBank@NUS Repository.
Abstract: A new α-trimmed estimator is proposed for the autocorrelation function in time series analysis. This estimator is designed to increase the resistance to extreme values in the observations. The performances of the new estimator and some existing estimators are compared in a simulation study. The results indicate that the new estimator is preferable to the other alternatives when the observations are contaminated by outliers. Comments on each individual estimator are also given. © 1992.
Source Title: Computational Statistics and Data Analysis
URI: http://scholarbank.nus.edu.sg/handle/10635/114180
ISSN: 01679473
Appears in Collections:Staff Publications

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