Confidence Intervals for the Parameter of a Gaussian First-Order Autoregressive Model with Additive Outliers: A Simulation Study

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DOI: https://doi.org/10.14456/sustj.2012.2
Keywords:
AR(1) model additive outliers confidence interval coverage probability length

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Wararit Panichkitkosolkul
Department of Mathematics and Statistics, Faculty of Science and Technology, Thammasat University, Thailand. Corresponding author's e-mail: [email protected]
Luckhana Saothayanun
Department of Applied Statistics, Faculty of Science, University of the Thai Chamber of Commerce, Thailand.
Yupin Kanjanasakda
Department of Applied Statistics, Faculty of Science, University of the Thai Chamber of Commerce, Thailand
Sunee Taweesakulvatchara
Department of Applied Statistics, Faculty of Science, University of the Thai Chamber of Commerce, Thailand

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 basedon the weighted symmetric estimator ( ˆφW), the recursive mean adjusted weighted symmetric estimator (ˆφRW),the recursive median adjusted weighted symmetric estimator ( ˆφRDW ), and the improved recursive medianadjusted weighted symmetric estimator (ˆφIRDW) by using Monte Carlo simulation. Simulation results haveshown that the confidence interval based on the estimator ˆIRDW φ is better than the other confidence intervalswith respect to the coverage probability and the length criteria.Key Words: AR(1) model; Additive outliers; Confidence interval; Coverage probability; LengthIntroductionIn time series analysis, outliers or atypicalobservations can

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How to Cite
Panichkitkosolkul, W., Saothayanun, L., Kanjanasakda, Y., & Taweesakulvatchara, S. (2013). Confidence Intervals for the Parameter of a Gaussian First-Order Autoregressive Model with Additive Outliers: A Simulation Study. Science, Engineering and Health Studies, 6(1), 23–41. https://doi.org/10.14456/sustj.2012.2
Issue
Volume 6, Number 1 (January - June), 2012
Section
Research Articles

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