Generalized and Feasible Generalized Median Estimators for the Linear Regression with AR(1) Error Model

摘要

The generalized least squares estimator (GLSE) and the feasible generalized least squares estimator (FGLSE) are, separately, extended to the generalized and the feasible generalized median estimators for the linear regression with AR(1) error model. The large sample theory for these estimators is developed. Furthermore results of Monte Carlo studies and an example of real data analysis are provided for the feasible generalized median estimator.