 หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Improvement in Parameter Estimation for a Gaussian AR(1) Process with an Unknown Drift and Additive Outliers: A Simulation Study) ผู้เขียน: Wararit Panichkitkosolkul สื่อสิ่งพิมพ์:pdf AbstractThis paper presents a new parameter estimation for a Gaussian first-order autoregressive (AR(1)) process with an unknown drift and additive outliers. Recursive median adjustment was applied based on an ?-winsorized mean to the weighted symmetric estimator. The following estimators were considered: the weighted symmetric estimator (??W), the recursive mean adjusted weighted symmetric estimator (??R–W), the recursive median adjusted weighted symmetric estimator (??Rmd–W), and the weighted symmetric estimator using the adjusted recursive median, based on the ?-winsorized mean (??W–Rmd–W). Using Monte Carlo simulations, the mean square error (MSE) of estimators were compared. Simulation results showed that the proposed estimator, ??W–Rmd–W, provided an MSE lower than those of ??W–Rmd–W, and ??W–Rmd–W for almost all situations. |