Mathematicae Probability and Statistics 22(1,2) (2002) 15-26
APPROXIMATE BIAS FOR FIRST-ORDER AUTOREGRESSIVE MODEL WITH UNIFORM INNOVATIONS. SMALL SAMPLE CASE
Karima Nouali and Hocine Fellag
Department of Mathematics
Faculty of Sciences, University of Tizi-Ouzou
Tizi-Ouzou, 15000 Algeria
The first-order autoregressive model with uniform innovations is considered. The approximate bias of the
maximum likelihood estimator (MLE) of the parameter is obtained. Also, a formula for the approximate bias is
given when a single outlier occurs at a specified time with a known amplitude. Simulation procedures confirm
that our formulas are suitable. A small sample case is considered only.
Keywords: autoregressive model, bias, outlier, uniform distribution.
2000 Mathematics Subject Classification: 62F11, 62M10.
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Received 15 March 2002