NL repository
menu
검색
Library
Browse
Communities & Collections
By Date
Authors
Titles
Subject
My Repository
My Account
Receive email updates
Edit Profile
DSpace at EWHA
자연과학대학
통계학전공
Journal papers
View : 980 Download: 0
Recursive mean adjustment in time-series inferences
Title
Recursive mean adjustment in time-series inferences
Authors
So B.S.
;
Shin D.W.
Ewha Authors
소병수
;
신동완
SCOPUS Author ID
소병수
; 신동완
Issue Date
1999
Journal Title
Statistics and Probability Letters
ISSN
0167-7152
Citation
Statistics and Probability Letters vol. 43, no. 1, pp. 65 - 73
Indexed
SCIE; SCOPUS
Document Type
Article
Abstract
When time-series data are positively autocorrelated, mean adjustment using the overall sample mean causes biases for sample autocorrelations and parameter estimates, which decreases the coverage probabilities of confidence intervals. A new method for mean adjustment is proposed, in which a datum at a time is adjusted for the mean through the partial sample mean, the average of data up to the time point. The method is simple and reduces the biases of the parameter estimators and the sample autocorrelations when data are positively autocorrelated. The empirical coverage probabilities of the confidence intervals of the autoregressive coefficient become quite close to the nominal level. © 1999 Elsevier Science B.V.
Appears in Collections:
자연과학대학
>
통계학전공
>
Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML
Show full item record
Find@EWHA
트윗하기
BROWSE
Communities & Collections
By Date
Authors
Titles
Subject