Title: Robust Parameter Estimation of Regression Model with AR(p) Error Terms,
Abstract: In this paper, we consider a linear regression model with AR(p) error terms
with the assumption that the error terms have a t distribution as a heavy
tailed alternative to the normal distribution. We obtain the estimators for the
model parameters by using the conditional maximum likelihood (CML) method. We
conduct an iteratively reweighting algorithm (IRA) to find the estimates for
the parameters of interest. We provide a simulation study and three real data
examples to illustrate the performance of the proposed robust estimators based
on t distribution.