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arXiv · 1710.04451

Robust Parameter Estimation of Regression Model with AR(p) Error Terms

Yetkin Tuaç·Yeşim Güney Birdal Şenoğlu·Olcay Arslan
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Abstract

In this paper, we consider a linear regression model with AR(p) error terms with the assumption that the error terms have a t distribution as a heavy tailed alternative to the normal distribution. We obtain the estimators for the model parameters by using the conditional maximum likelihood (CML) method. We conduct an iteratively reweighting algorithm (IRA) to find the estimates for the parameters of interest. We provide a simulation study and three real data examples to illustrate the performance of the proposed robust estimators based on t distribution.

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Yetkin Tuaç, Yeşim Güney Birdal Şenoğlu, Olcay Arslan. 2017-10-12. Robust Parameter Estimation of Regression Model with AR(p) Error Terms. https://doi.org/10.1080/03610918.2017.1343839

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