منابع مشابه
Limit Theory for an Explosive Autoregressive Process
Large sample properties are studied for a rst-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coe¢ cient, the leastsquares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error distribution, and hence an invariance principle applies. While the invariance principle does not apply to th...
متن کاملAsymptotic behavior of the variance of the EWMA statistic for autoregressive processes
Serial correlation can seriously affect the performance of traditional control charts. Many authors have studied the effect of autocorrelation on EWMA control charts and have shown how to modify the control limits to account for autocorrelation. In this paper we compare three different estimation methods for the variance of the EWMA statistic that is adapted to autocorrelated data. This compari...
متن کاملTwo-stage Procedure in P-Order Autoregressive Process
In this paper, the two-stage procedure is considered for autoregressive parameters estimation in the p-order autoregressive model ( AR(p)). The point estimation and fixed-size confidence ellipsoids construction are investigated which are based on least-squares estimators. Performance criteria are shown including asymptotically risk efficient, asymptotically efficient, and asymptotically consist...
متن کاملT test as a parametric statistic
In statistic tests, the probability distribution of the statistics is important. When samples are drawn from population N (µ, σ(2)) with a sample size of n, the distribution of the sample mean X̄ should be a normal distribution N (µ, σ(2)/n). Under the null hypothesis µ = µ0, the distribution of statistics [Formula: see text] should be standardized as a normal distribution. When the variance of ...
متن کاملThe empirical process of autoregressive residuals
The asymptotic theory of the residual empirical process of autoregressions with an intercept is developed. In contrast to situations without intercept the asymptotic distribution does not depend on the location of the characteristic roots. This is important in applications, as the question of the distribution of the innovations then can be addressed without having to locate the characteristic r...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2018
ISSN: 1556-5068
DOI: 10.2139/ssrn.3247778