Robust Trend Estimation for AR(1) Disturbances

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.

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Year of publication:	2004
Authors:	Fried, Roland ; Gather, Ursula
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Regression \| Robustes Verfahren \| Autokorrelation \| Theorie \| Robust Regression \| Autocorrelations \| Detrending \| Cochrane-Orcutt Estimator \| Prais-Winsten Estimator

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Series:	Technical Report ; 2004,64
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	479037418 [GVK] hdl:10419/22577 [Handle] RePEc:zbw:sfb475:200464 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010296648