Robust Trend Estimation for AR(1) Disturbances

Authors

  • Roland Fried University Carlos III, Madrid
  • Ursula Gather University of Dortmund

DOI:

https://doi.org/10.17713/ajs.v34i2.407

Abstract

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.

References

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Published

2016-04-03

How to Cite

Fried, R., & Gather, U. (2016). Robust Trend Estimation for AR(1) Disturbances. Austrian Journal of Statistics, 34(2), 139–151. https://doi.org/10.17713/ajs.v34i2.407

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Articles