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시계열모형에서 추정함수를 이용한 로버스트 추론Robust Estimation using Estimating Functions for Time Series Models
- Issue Date
- Sep-1999
- Publisher
- 한국통계학회
- Citation
- 응용통계연구, v.12, no.2, pp 479 - 490
- Pages
- 12
- Journal Title
- 응용통계연구
- Volume
- 12
- Number
- 2
- Start Page
- 479
- End Page
- 490
- Abstract
- 선형시계열모형인 AR(1)모형과 비선형시계열모형인 RCA(1), ARCH(1)모형에서 이상치(Outlier)가 존재할 경우 최소제곱추정량과 M추정량간의 점근상대효율(Asymptotic Relative Efficiency: ARE)을 구하여 두 추정량의 로버스트 성질을 비교.분석하였다. 또한 여러 유계함수(Huber, Tukey, Andrews, Hampel)들을 M추정함수에 적용하여 각각의 유계함수들을 비교.분석하였다.
The robustness of the least square estimatior and M estimator is compared in sense of asymptotic relative efficiency criterion for the linear and nonlinear time series processes with outliers, respectively. And the simulation results for M estimation function based on several bounded functions(Huber, Tukey, Andrews, Hampel) are given.
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