Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/114180
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dc.titleA comparison of some estimators of time series autocorrelations
dc.contributor.authorChan, W.-s.
dc.contributor.authorWei, W.W.S.
dc.date.accessioned2014-12-02T02:49:14Z
dc.date.available2014-12-02T02:49:14Z
dc.date.issued1992-08
dc.identifier.citationChan, 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.
dc.identifier.issn01679473
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/114180
dc.description.abstractA 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.
dc.sourceScopus
dc.subjectAdditive outlier
dc.subjectARMA model
dc.subjectInnovational outlier
dc.subjectJackknife estimate
dc.subjectRobust estimate
dc.subjectTrimmed estimate
dc.typeArticle
dc.contributor.departmentECONOMICS & STATISTICS
dc.description.sourcetitleComputational Statistics and Data Analysis
dc.description.volume14
dc.description.issue2
dc.description.page149-163
dc.description.codenCSDAD
dc.identifier.isiutNOT_IN_WOS
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