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Confidence Intervals for the Parameter of a Gaussian First-Order Autoregressive Model with Additive Outliers: A Simulation Study |
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| รหัสดีโอไอ | |
| Creator | 1. Wararit Panichkitkosolkul 2. Luckhana Saothayanun 3. Yupin Kanjanasakda 4. Sunee Taweesakulvatchara |
| Title | Confidence Intervals for the Parameter of a Gaussian First-Order Autoregressive Model with Additive Outliers: A Simulation Study |
| Publisher | Silpakorn University Research and Development Institute |
| Publication Year | 2555 |
| Journal Title | Silpakorn University Science and Technology Journal |
| Journal Vol. | 6 |
| Journal No. | 1 |
| Page no. | 23-41 |
| Keyword | AR(1) model, Additive outliers, Confidence interval, Coverage probability, Length |
| ISSN | 1905-9159 |
| Abstract | This paper is concerned with interval estimation of a parameter for a Gaussian first-order autoregressive model, AR(1), when there are additive outliers in a time series. We compared the confidence intervals based on the weighted symmetric estimator (??W), the recursive mean adjusted weighted symmetric estimator (??RW), the recursive median adjusted weighted symmetric estimator (??RDW), and the improved recursive median adjusted weighted symmetric estimator (??IRDW) by using Monte Carlo simulation. Simulation results have shown that the confidence interval based on the estimator ??IRDW is better than the other confidence intervals with respect to the coverage probability and the length criteria. |
