[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Current Issue :: Archive :: Search :: Submit :: Contact ::
:: Volume 12, Issue 1 (9-2015) ::
JSRI 2015, 12(1): 83-104 Back to browse issues page
Statistical Inference in Autoregressive Models with Non-negative Residuals
S. Zamani Mehryan * , A. Sayyareh
, s.zamani121@yahoo.com
Abstract:   (2063 Views)

Normal residual is one of the usual assumptions of autoregressive models but in practice sometimes we are faced with non-negative residuals case.

In this paper we consider some autoregressive models with non-negative residuals as competing models and we have derived the maximum likelihood estimators of parameters based on the modified approach and EM algorithm for the competing models. Also, based on the simulation study, we have compared the ability of some model selection criteria to select the optimal autoregressive model. Then we consider a set of real data, level of lake Huron 1875-1930, as a data set generated from a first order autoregressive model with non-negative residuals and based on the model selection criteria we select the optimal model between the competing models.

Keywords: Autoregressive model, Kullback-Leibler information, model selection criterion, modified maximum likelihood.
Full-Text [PDF 238 kb]   (672 Downloads)    
Type of Study: Research | Subject: General
Received: 2015/11/14 | Accepted: 2015/11/14 | Published: 2015/11/14
Send email to the article author

Add your comments about this article
Your username or Email:

Write the security code in the box >

XML   Persian Abstract   Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Zamani Mehryan S, Sayyareh A. Statistical Inference in Autoregressive Models with Non-negative Residuals . JSRI. 2015; 12 (1) :83-104
URL: http://jsri.srtc.ac.ir/article-1-27-en.html

Volume 12, Issue 1 (9-2015) Back to browse issues page
مجله‌ی پژوهش‌های آماری ایران (علمی - پژوهشی) Journal of Statistical Research of Iran JSRI
Persian site map - English site map - Created in 0.05 seconds with 31 queries by YEKTAWEB 3698