Robust Trend Estimation for AR(1) Disturbances

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DC Field	Value	Language
dc.contributor.author	Fried, Roland	de
dc.contributor.author	Gather, Ursula	de
dc.date.accessioned	2005-01-31T08:14:58Z	-
dc.date.available	2005-01-31T08:14:58Z	-
dc.date.issued	2004	de
dc.identifier.uri	http://hdl.handle.net/2003/20078	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-7233	-
dc.description.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.	en
dc.description.abstract	Wir behandeln die robuste Schätzung eines linearen Trends bei autoregressiven Fehlern erster Ordnung. Die Repeated Median Regression zeigt ein gutes Verhalten bei positiven Korrelationen. Bei negativen Korrelationen ist eine Verbesserung durch eine Prais-Winsten Transformation mittels eines robusten Korrelationsschätzers möglich.	de
dc.format.extent	105125 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en	de
dc.publisher	Universität Dortmund	de
dc.subject	Autocorrelations	en
dc.subject	Cochrane-Orcutt Estimator	en
dc.subject	Detrending	en
dc.subject	Prais-Winsten Estimator	en
dc.subject	Robust Regression	en
dc.subject.ddc	000	de
dc.title	Robust Trend Estimation for AR(1) Disturbances	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access	-
Appears in Collections:	Sonderforschungsbereich (SFB) 475

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