Robust Estimators of Ar-Models: A Comparison

Many regression-estimation techniques have been extended to cover the case of dependent observations. The majority of such techniques are developed from the classical least squares, M and GM approaches and their properties have been investigated both on theoretical and empirical grounds. However, the behavior of some alternative methods- with satisfactory performance in the regression case- has not received equal attention in the context of time series. A simulation study of four robust estimators for autoregressive models containing innovation or additive outliers is presented. The robustness and efficiency properties of the methods are exhibited, some finite-sample results are discussed in combination with theoretical properties and the relative merits of the estimators are viewed in connection with the outlier-generating scheme.