Robustness of Zero Crossing Estimator

Yuichi Goto, Masanobu Taniguchi

研究成果: ジャーナルへの寄稿学術誌査読

1 被引用数 (Scopus)

抄録

Zero crossing (ZC) statistic is the number of zero crossings observed in a time series. The expected value of the ZC specifies the first-order autocorrelation of the processes. Hence, we can estimate the autocorrelation by using the ZC estimator. The asymptotic consistency and normality of the ZC estimator for scalar Gaussian processes are already discussed in 1980. In this article, first, we derive the joint asymptotic distribution of the ZC estimator for ellipsoidal processes. Next, we show the variance of the ZC estimator does not attain the Cramer–Rao lower bound (CRLB). However, it is shown that the ZC estimator has robustness when the process is contaminated by an outlier. In contrast with this, we observe that the quasi-maximum likelihood estimator (QMLE) attains the CRLB. However, we can see that QMLE is sensitive for the outlier.

本文言語英語
ページ(範囲)815-830
ページ数16
ジャーナルJournal of Time Series Analysis
40
5
DOI
出版ステータス出版済み - 2019
外部発表はい

!!!All Science Journal Classification (ASJC) codes

  • 統計学および確率
  • 統計学、確率および不確実性
  • 応用数学

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