Robust Trend Estimation for AR(1) Disturbances
Keyword(s):
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.
2000 ◽
Vol 29
(1)
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pp. 55-66
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1983 ◽
Vol 22
(3)
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pp. 269-279
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2013 ◽
Vol 79
(802)
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pp. 1980-1989
Keyword(s):
1978 ◽
Vol 20
(3)
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pp. 371-377
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1974 ◽
Vol 11
(01)
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pp. 63-71
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