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Comparison of efficiency of estimates by the methods of least absolute deviations and least squares in the autoregression model with random coefficient

Automation and Remote Control. 2016. Vol. 77. No. 9. P. 1579–1588.
Goryainov A. V., Goryainova E. R.

For the model of autoregression with a random coefficient, the estimate by the least absolute deviations (LAD) method was proved to be consistent and asymptotically normal. For the asymptotic relative efficiency of the estimate by the LAD method as compared to the least squares method, an analytical expression was obtained. For the case where the innovative field of the autoregression process has the Tukey distribution, consideration was given to the behavior of the relative asymptotic efficiency.

Priority areas: mathematics
Language: English
Full text
DOI
Keywords: метод наименьших модулейасимптотическая относительная эффективностьавторегрессия со случайными коэффициентамираспределение Тьюкиleast absolute deviations (LAD) methodasymptotic relative efficiencyrandom coefficient autoregressive (RCA)Tukey distribution
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