The median estimate of the autoregressive location parameter

Abstract

A median-based estimate of the location (i.e. intercept) parameter in an autoregressive time series is considered. Specifically, the asymptotic joint distribution of the location estimate and a location invariant estimate of the AR parameter vector is derived. Applications of this result to rank-based estimates are briefly discussed and illustrated with a numerical example.

Keywords:

• autoregressive time series
• location
• parameter
• median estimate
• rank-based estimates
• robust