시계열모형에서 추정함수를 이용한 로버스트 추론
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 차경엽 | - |
dc.contributor.author | 김삼용 | - |
dc.contributor.author | 이성덕 | - |
dc.date.accessioned | 2023-02-21T09:40:22Z | - |
dc.date.available | 2023-02-21T09:40:22Z | - |
dc.date.issued | 1999-09 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/60844 | - |
dc.description.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. | - |
dc.description.abstract | 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. | - |
dc.format.extent | 12 | - |
dc.publisher | 한국통계학회 | - |
dc.title | 시계열모형에서 추정함수를 이용한 로버스트 추론 | - |
dc.title.alternative | Robust Estimation using Estimating Functions for Time Series Models | - |
dc.type | Article | - |
dc.identifier.bibliographicCitation | 응용통계연구, v.12, no.2, pp 479 - 490 | - |
dc.description.isOpenAccess | N | - |
dc.citation.endPage | 490 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 479 | - |
dc.citation.title | 응용통계연구 | - |
dc.citation.volume | 12 | - |
dc.identifier.url | https://kiss.kstudy.com/thesis/thesis-view.asp?key=333437 | - |
dc.description.journalRegisteredClass | domestic | - |
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