Abstract
In this paper, we consider the problem of stability of the estimation in autoregressive models for the finite sample case. A Monte Carlo comparison of the least square estimator and the Hurwicz estimator is performed in various contaminated models. The paper shows that, the least square estimator is very sensitive to contamination and, despite the median-unbiasedness of the Hurwicz estimator, an optimal and stable estimator in small sample case is to be constructed.
Citation
Hocine Fellag. "Some aspects of stability in time series small sample case." Afr. Stat. 5 (1) 252 - 259, April 2010.
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