View : 57 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
소병수신동완
SCOPUS Author ID
소병수scopus; 신동완scopus
Issue Date
1999
Journal Title
Statistics and Probability Letters
ISSN
0167-7152JCR Link
Citation
vol. 43, no. 1, pp. 65 - 73
Indexed
SCIE; SCOPUS WOS scopus
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


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE