Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Strong Representations for LAD Estimators in AR(1) Models

  • Kang, Hee-Jeong (Dept. of Statistics, Chonbuk National University) ;
  • Shin, Key-Il (Dept. of Statistics, Hankuk University of Foreign Studies)
  • Published : 1998.09.01
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Abstract

Consider the AR(1) model $X_{t}$=$\beta$ $X_{t-1}$+$\varepsilon$$_{t}$ where $\beta$ < 1 is an unknown parameter to be estimated and {$\varepsilon$$_{t}$} denotes the independent and identically distributed error terms with unknown common distribution function F. In this paper, a strong representation for the least absolute deviation (LAD) estimate of $\beta$ in AR(1) models is obtained under some mild conditions on F. on F.F.

Keywords

References

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