Accession Number:

ADA149705

Title:

Ordinary and Proper Location M-Estimates for ARMA Models. Revised.

Descriptive Note:

Technical rept.,

Corporate Author:

WASHINGTON UNIV SEATTLE DEPT OF STATISTICS

Personal Author(s):

Report Date:

1984-07-01

Pagination or Media Count:

37.0

Abstract:

Proper location M-estimates for a model with non-Gaussian autoregressive-moving average type errors are genuine maximum likelihood type estimates, whereas ordinary location M-estimates are those introduced by P. Huber for independent and identically distributed errors. The relative behavior of ordinary location M-estimates and proper location M-estimates is studied for situations with dependent errors of purely autoregressive and purely moving average type. It is shown through asymptotic calculations and finite-sample size Monte Carlo studies that although ordinary location M-estimates are adequate for weak dependency structure, they can be quite inefficient compared with proper M-estimates of location when the non-Gaussian errors have a moderate to strong dependency structure. Additional keywords Asymptotic normality Efficiency Equations. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE