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A simulation study on a new estimator in seasonal autoregressive model

Title
A simulation study on a new estimator in seasonal autoregressive model
Authors
위정현
Issue Date
1997
Department/Major
대학원 통계학과
Keywords
simulationestimator벡타자기회귀과정autoregressive model
Publisher
The Graduate school of Ewha Women's University
Degree
Master
Abstract
For a vector 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 unbiased. Using the estimator, a confidence interval of the autoregressive parameter is constructed. A Monte-Carlo simulation for the first order vector autoregressions shows that the proposed confidence interval has a better empirical coverage probability compared with the confidence interval based on the ordinary least squares estimator when the autoregressive coefficient is close to one. ;벡타자기회귀과정에서 극한분포가 표준정규분포를 따르고 또한 불편의 되어있는 새로운 자기회귀계수추정치를 제시하였다. 이를 이용하여 회귀계수의 신뢰구간을 구하여 최소제곱추정치의 신뢰구간과 비교하였다. 차수가 1인 벡타자기회귀모형인 경우에, 몬데 카를로 모의실험을 통하여 자기회귀계수가 1로 근접함에 따라 제시된 신뢰구간이 최소제곱추정치의 신뢰구간보다 실제로 더 나은 포함확률(Coverage Probability)을 가지는 것을 보였다.
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