IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v40y2019i5p815-830.html
   My bibliography  Save this article

Robustness of Zero Crossing Estimator

Author

Listed:
  • Yuichi Goto
  • Masanobu Taniguchi

Abstract

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.

Suggested Citation

  • Yuichi Goto & Masanobu Taniguchi, 2019. "Robustness of Zero Crossing Estimator," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(5), pages 815-830, September.
    • Handle: RePEc:bla:jtsera:v:40:y:2019:i:5:p:815-830
    DOI: 10.1111/jtsa.12463
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/jtsa.12463
    Download Restriction: no
    File URL: https://libkey.io/10.1111/jtsa.12463?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jin, Lei, 2021. "Robust tests for time series comparison based on Laplace periodograms," Computational Statistics & Data Analysis, Elsevier, vol. 160(C).
    2. Shobande Olatunji Abdul & Shodipe Oladimeji Tomiwa, 2020. "Re-Evaluation of World Population Figures: Politics and Forecasting Mechanics," Economics and Business, Sciendo, vol. 34(1), pages 104-125, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:40:y:2019:i:5:p:815-830. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.