ASYMPTOTIC PROPERTIES OF SEVERAL ESTIMATORS OF THE AUTOCORRELATION BASED ON LIMITER ESTIMATING FUNCTIONS FOR A STATIONARY GAUSSIAN PROCESS WITH ADDITIVE OUTLIERS

Abstract

We deal with the estimation of the autocorrelation of a stationary Gaussian process with additive outliers. The biases of several estimators of the autocorrelation based on limiter estimating functions are compared. We show the estimator due to Sen [11] is the least biased, namely the most robust among them.