Chiang Mai Journal of Science

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This paper presents a new estimator for an unknown mean Gaussian AR(1) process with additive outliers. We apply the recursive median adjustment to the weighted symmetric estimator of Park and Fuller
[1]. The mean square error (MSE) is derived. Simulation is used to investigate the behavior of this new estimator (ρ^{^}_RMD-W) compared to the weighted symmetric estimator (ρ^{^}_W) and the recursively mean adjusted weighted symmetric estimator (ρ^R-W) proposed by Niwitpong
[2]. Simulation results have shown that the proposed estimator, ρ^{^}_RMD-W  , provides a MSE lower than those of  ρ^{^}_W and ρ^{^}_R-W for almost all situations.

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