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Asymptotic properties of BMM-estimator in bidimensional autoregressive processes
Journal of Statistical Planning and Inference ( IF 0.8 ) Pub Date : 2020-12-01 , DOI: 10.1016/j.jspi.2020.04.001
Grisel M. Britos , Silvia M. Ojeda , Laura A. Rodríguez Astrain , Oscar H. Bustos

Abstract In this work, we present the BMM 2D estimator, a robust estimator for the parameters of the bidimensional autoregressive model (AR-2D model). The new estimator is a two-dimensional extension of the BMM estimator for the parameters of the autoregressive models used in time series analysis. We demonstrate that the BMM 2D estimator is consistent and asymptotically normal, which provides a valuable tool to carry out inferential studies about the parameters of the AR-2D model. Also, we show the performance of the BMM 2D estimator compared with the least-squares estimator and illustrate it in the context of image restoration problems.

中文翻译:

二维自回归过程中 BMM 估计量的渐近性质

摘要 在这项工作中,我们提出了 BMM 2D 估计器,这是一种用于二维自回归模型(AR-2D 模型)参数的稳健估计器。新的估计量是 BMM 估计量的二维扩展,用于时间序列分析中使用的自回归模型的参数。我们证明了 BMM 2D 估计器是一致且渐近正态的,这为对 AR-2D 模型的参数进行推理研究提供了一个有价值的工具。此外,我们展示了 BMM 2D 估计器与最小二乘估计器相比的性能,并在图像恢复问题的背景下对其进行了说明。
更新日期:2020-12-01
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