Arbeitspapier
Robust Trend Estimation for AR(1) Disturbances
We discuss the robust estimation of a linear trend if the noise follows an autoregressive process of first order. We find the ordinary repeated median to perform well except for negative correlations. In this case it can be improved by a Prais-Winsten transformation using a robust autocorrelation estimator.
- Language
-
Englisch
- Bibliographic citation
-
Series: Technical Report ; No. 2004,64
- Subject
-
Robust Regression
Autocorrelations
Detrending
Cochrane-Orcutt Estimator
Prais-Winsten Estimator
Regression
Robustes Verfahren
Autokorrelation
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Fried, Roland
Gather, Ursula
- Event
-
Veröffentlichung
- (who)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
-
Dortmund
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fried, Roland
- Gather, Ursula
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2004
Other Objects (12)
Robust Trend Estimation for AR(1) Disturbances
Robust Estimation of Scale for Local Linear Temporal Trends
Robust estimation of scale for local linear temporal trends
SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects
Locally robust semiparametric estimation
Locally robust semiparametric estimation
Sparse trend estimation
Robust Estimation of Cronbach's Alpha
Robust estimation of (partial) autocorrelation
On robust small area estimation
Robust designs for series estimation
Robust estimation in econometric models
Robust Trend Estimation for AR(1) Disturbances
Robust Estimation of Scale for Local Linear Temporal Trends
Robust estimation of scale for local linear temporal trends
SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects
Locally robust semiparametric estimation
Locally robust semiparametric estimation
Sparse trend estimation
Robust Estimation of Cronbach's Alpha
Robust estimation of (partial) autocorrelation
On robust small area estimation
Robust designs for series estimation
Robust estimation in econometric models
Robust Trend Estimation for AR(1) Disturbances
Robust Estimation of Scale for Local Linear Temporal Trends
Robust estimation of scale for local linear temporal trends
SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects
Locally robust semiparametric estimation
Locally robust semiparametric estimation
Sparse trend estimation
Robust Estimation of Cronbach's Alpha
Robust estimation of (partial) autocorrelation
On robust small area estimation
Robust designs for series estimation