Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Limiting Distributions of Trimmed Least Squares Estimators in Unstable AR(1) Models

  • Lee, Sangyeol (Department of Statistics, Seoul National University)
  • Published : 1999.06.01
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Abstract

This paper considers the trimmed least squares estimator of the autoregression parameter in the unstable AR(1) model: X\ulcorner=ØX\ulcorner+$\varepsilon$\ulcorner, where $\varepsilon$\ulcorner are iid random variables with mean 0 and variance $\sigma$$^2$> 0, and Ø is the real number with │Ø│=1. The trimmed least squares estimator for Ø is defined in analogy of that of Welsh(1987). The limiting distribution of the trimmed least squares estimator is derived under certain regularity conditions.

Keywords

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