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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

  • Stochastic Systems, Queueing Systems
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Abstract

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.

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Authors and Affiliations

  1. Moscow State Aviation Institute, Moscow, Russia

    A. V. Goryainov

  2. National Research University Higher School of Economics, Moscow, Russia

    E. R. Goryainova

Authors
  1. A. V. Goryainov
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  2. E. R. Goryainova
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Correspondence to A. V. Goryainov.

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Original Russian Text © A.V. Goryainov, E.R. Goryainova, 2016, published in Avtomatika i Telemekhanika, 2016, No. 9, pp. 84–95.

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Goryainov, A.V., Goryainova, E.R. Comparison of efficiency of estimates by the methods of least absolute deviations and least squares in the autoregression model with random coefficient. Autom Remote Control 77, 1579–1588 (2016). https://doi.org/10.1134/S000511791609006X

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  • DOI: https://doi.org/10.1134/S000511791609006X

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