Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 오유진 | - |
dc.creator | 오유진 | - |
dc.date.accessioned | 2016-08-25T02:08:14Z | - |
dc.date.available | 2016-08-25T02:08:14Z | - |
dc.date.issued | 1997 | - |
dc.identifier.other | OAK-000000023397 | - |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/173969 | - |
dc.identifier.uri | http://dcollection.ewha.ac.kr/jsp/common/DcLoOrgPer.jsp?sItemId=000000023397 | - |
dc.description.abstract | 시계열 자료에서 단위근 검정시 OLSE(ordinary least square estimator)에 근거한 통계량을 많이 사용해왔다. 본 논문에서는 OLSE에 근거한 통계량의 단점을 보완하여 Cauchy-type estimator라 명명한 추정량을 제시하였다. 제시된 추정량은 median-unbiased 되어있고, 그 통계량은 극한 분포가 정규분포라는 장점이 있다. 그리고 Monte-Carlo simulation을 보면 부분적으로 OLSE에 근거한 테스트보다 부분적으로 더 powerful 하다.;For a seasonal autoregressive process, we propose a new estimator whose pivotal statistic has a standard normal limiting distribution for all range of autoregressive parameter . The proposed estimator is approximately median-unbiased. For seasonal time series, the new estimator gives us unit root tests which has the limiting normal distribution. A Monte-Carlo simulation shows that the proposed tests for unit root are locally more powerful than the tests based on the ordinary least squares estimator. | - |
dc.description.tableofcontents | CONTENTS ABSTRACT = 1 CHAPTER 1 INTRODUCTION = 2 CHAPTER 2 AN ESTMATOR = 5 CHAPTER 3 UNIT ROOT TESTS = 10 3.1 NO MEAN ADJUSTED CASE = 10 3.2 COMMON MEAN ADJUSTED CASE = 11 3.3 SEASONAL MEAN ADJUSTED CASE = 12 CHAPTER 4 MONTE-CARLO STUDY = 13 CHAPTER 5 DISCUSSIONS = 18 REFERENCES = 19 APPENDIX = 20 Now we prove the Theorem 1. = 21 PROGRAM OF THE SEASONAL MEAN CASE = 23 논문초록 = 27 감사의 글 = 28 | - |
dc.format | application/pdf | - |
dc.format.extent | 708336 bytes | - |
dc.language | eng | - |
dc.publisher | The Graduate school of Ewha Women's University | - |
dc.subject | Monte Carlo | - |
dc.subject | 시계열 자료 | - |
dc.subject | OLSE | - |
dc.subject | median-unbiased | - |
dc.title | A Monte Carlo study on a new test for unit roots in a seasonal autoregressive model | - |
dc.type | Master's Thesis | - |
dc.format.page | 28 p. | - |
dc.identifier.thesisdegree | Master | - |
dc.identifier.major | 대학원 통계학과 | - |
dc.date.awarded | 1998. 2 | - |