[Home ] [Archive]    
Main Menu
Journal Information::
Home::
Archive::
For Authors::
For Reviewers::
Principles of Transparency::
Contact us::
::
Search in website

Advanced Search
..
Committed to

AWT IMAGE

Attribution-NonCommercial
CC BY-NC


AWT IMAGE

Open Access Publishing


AWT IMAGE

Prevent Plagiarism

..
Registered in


..
Statistics
Journal volumes: 17
Journal issues: 34
Articles views: 703517
Articles downloads: 365151

Total authors: 581
Unique authors: 422
Repeated authors: 159
Repeated authors percent: 27

Submitted articles: 369
Accepted articles: 266
Rejected articles: 25
Published articles: 219

Acceptance rate: 72.09
Rejection rate: 6.78

Average Time to Accept: 282 days
Average Time to First Review: 27.2 days
Average Time to Publish: 26.1 days

Last 3 years statistics:
Submitted articles: 36
Accepted articles: 23
Rejected articles: 2
Published articles: 10

Acceptance rate: 63.89
Rejection rate: 5.56

Average Time to Accept: 145 days
Average Time to First Review: 6.9 days
Average Time to Publish: 154 days
____
..
:: Volume 17, Issue 1 (8-2020) ::
JSRI 2020, 17(1): 45-62 Back to browse issues page
Two-stage Procedure in P-Order Autoregressive Process
Eisa Mahmoudi 1, Soudabe Sajjadipanah2 , Mohammadsadegh Zamani2
1- Yazd University , emahmoudi@yazd.ac.ir
2- Yazd University
Abstract:   (557 Views)
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 consistent. Monte Carlo simulation studies are conducted to investigate the performance of the two-stage procedure. Finally, real-time-series data is provided to investigate to the applicability of the two-stage procedure.
 
Keywords: Asymptotically consistent, asymptotically efficient, asymptotically risk efficient, fixed size confidence ellipsoids, two-stage procedure.
Full-Text [PDF 243 kb]   (537 Downloads)    
Type of Study: Applicable | Subject: General
Received: 2021/04/30 | Accepted: 2022/05/1 | Published: 2020/08/22
References
1. Basawa, I.V., McCormick, W.P., and Sriram, T.N. (1990). Sequential Estimation for Dependent Observations with an Application to Non-Standard Autoregressive Processes. Stochastic processes and their applications, 35, 149-168. [DOI:10.1016/0304-4149(90)90129-G]
2. Basu, A.K., and Das, J.K. (1997). Sequential Estimation of the Autoregressive Parameters in Ar(p) Model. Sequential Analysis, 16, 1-24. [DOI:10.1080/07474949708836370]
3. Brockwell, P.J., and Davis, R.A. (1987). Time Series: Theory and Methods. 2nd ed., Springer Texts in Statistics. [DOI:10.1007/978-1-4899-0004-3]
4. Fakhre-Zakeri, I., and Lee, S. (1992). Sequential Estimation of the Mean of a Linear Process. Sequential analysis, 11, 181-197. [DOI:10.1080/07474949208836252]
5. Ghosh, M., Mukhopadhyay, N., and Sen, P.K. (1997). Sequential Estimation, New York, Wiley. [DOI:10.1002/9781118165928]
6. Gombay, E. (2010). Sequential Confidence Intervals for Time Series. Periodica Mathematica Hungarica, 61, 183-193. [DOI:10.1007/s10998-010-3183-z]
7. Hu, J., and Zhuang, Y. (2020). A broader class of modified two-stage minimum risk point estimation procedures for a normal mean. Communications in Statistics-Simulation and Computation, 1-15. [DOI:10.1080/03610918.2020.1842887]
8. Karmakar, B., and Mukhopadhyay, I. (2018). Risk Efficient Estimation of Fully Dependent Random Coefficient Autoregressive Models of General Order. Communications in Statistics-Theory and Methods, 47, 4242-4253. [DOI:10.1080/03610926.2017.1371758]
9. Karmakar, B., and Mukhopadhyay, I. (2019). Risk-Efficient Sequential Estimation of Multivariate Random Coefficient Autoregressive Process. Sequential Analysis, 38, 26-45. [DOI:10.1080/07474946.2019.1574441]
10. Kashkovsky, D.V., and Konev, V.V. (2008). Sequential Estimates of the Parameters in a Random Coefficient Autoregressive Process. Optoelectronics, Instrumentation and Data Processing, 44, 52-61. [DOI:10.3103/S8756699008010081]
11. Khalifeh, A., Mahmoudi, E., and Chaturvedi, A. (2020). Sequential Fixed-Accuracy Confidence Intervals for the Stress--Strength Reliability Parameter for the Exponential Distribution: Two-Stage Sampling Procedure. Computational Statistics, 35, 1553-1575. [DOI:10.1007/s00180-020-00957-5]
12. Kusainov, M.I. (2015). Risk Efficiency of Adaptive One-Step Prediction of Autoregression with Parameter Drift. Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitel quotesingle naya tekhnika i informatika, 32, 33-43. [DOI:10.17223/19988605/32/4]
13. Lai, T.L., and Wei, C.Z. (1982). Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems. The Annals of Statistics, 10, 154-166. [DOI:10.1214/aos/1176345697]
14. Lee, S. (1994). Sequential Estimation for the Parameters of a Stationary Autoregressive Model. Sequential Analysis, 13, 301-317. [DOI:10.1080/07474949408836311]
15. Lee, S., and Sriram,T.N. (1999). Sequential Point Estimation of Parameters in a Threshold AR(1) Model. Stochastic processes and their Applications, 84, 343-355. [DOI:10.1016/S0304-4149(99)00060-5]
16. Mahmoudi, E., Khalifeh, A., and Nekoukhou, V. (2019). Minimum Risk Sequential Point Estimation of the Stress-Strength Reliability Parameter for Exponential Distribution. Sequential Analysis, 38, 279-300. [DOI:10.1080/07474946.2019.1649347]
17. Merlevede, F., and Peligrad, M. (2013). Rosenthal-type inequalities for the maximum of partial sums of stationary processes and examples. The Annals of Probability, 41, 914-960. [DOI:10.1214/11-AOP694]
18. Moran, P.A.P. (1953). The statistical analysis of the Canadian lynx cycle. Australian Journal of Zoology, 1, 291-298. [DOI:10.1071/ZO9530291]
19. Mukhopadhyay, N. (1980). A Consistent and Asymptotically Efficient Two-Stage Procedure to Construct Fixed Width Confidence Intervals for the Mean. Metrika, 27, 281-284. [DOI:10.1007/BF01893607]
20. Mukhopadhyay, N., and Duggan, W.T. (1997). Can a Two-Stage Procedure Enjoy Second-Order Properties. Sankhya: The Indian Journal of Statistics, Series A, 59, 435-448.
21. Mukhopadhyay, N., and Duggan, W.T. (1999). On a Two-Stage Procedure Having Second-Order Properties with Applications. Annals of the Institute of Statistical Mathematics, 51, 621-636. [DOI:10.1023/A:1004074912105]
22. Mukhopadhyay, N., and Sriram, T.N. (1992). On Sequential Comparisons of Means of First-Order Autoregressive Models. Metrika, 39, 155-164. [DOI:10.1007/BF02613995]
23. Mukhopadhyay, N., and Zacks, S. (2018). Modified Linex Two-Stage and Purely Sequential Estimation of the Variance in a Normal Distribution with Illustrations Using Horticultural Data. Journal of Statistical Theory and Practice, 12, 111-135. [DOI:10.1080/15598608.2017.1350608]
24. Sriram, T. N. (1987). Sequential Estimation of the Mean of a First-Order Stationary Autoregressive Process. The Annals of Statistics, 15, 1079-1090. [DOI:10.1214/aos/1176350494]
25. Sriram, T.N. (1988). Sequential Estimation of the Autoregressive Parameter in a First Order Autoregressive Process. Sequential Analysis, 7, 53-74. [DOI:10.1080/07474948808836142]
26. Sriram, T.N. (2001). Fixed Size Confidence Regions for Parameters of Threshold AR(1) Models. Journal of statistical planning and inference, 97, 293-304. [DOI:10.1016/S0378-3758(00)00246-9]
27. Sriram, T.N., and Samadi, S.Y. (2019). Second-Order Analysis of Regret for Sequential Estimation of the Autoregressive Parameter in a First-Order Autoregressive Model. Sequential Analysis, 38, 411-435. [DOI:10.1080/07474946.2019.1648933]
28. Stein, C. (1945). A Two-Sample Test for a Linear Hypothesis Whose Power Is Independent of the Variance. The Annals of Mathematical Statistics, 16, 243-258. [DOI:10.1214/aoms/1177731088]
29. Stein, C. (1949). Some Problems in Sequential Estimation (Abstract). Econometrica, 17, 77-78.
30. Woodroofe, M. (1982). Nonlinear renewal theory in sequential analysis. Philadelphia: SIAM. [DOI:10.1137/1.9781611970302]
Send email to the article author

Add your comments about this article
Your username or Email:

CAPTCHA


XML     Print


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

Mahmoudi E, Sajjadipanah S, Zamani M. Two-stage Procedure in P-Order Autoregressive Process. JSRI 2020; 17 (1) :45-62
URL: http://jsri.srtc.ac.ir/article-1-414-en.html


Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 17, Issue 1 (8-2020) Back to browse issues page
مجله‌ی پژوهش‌های آماری ایران Journal of Statistical Research of Iran JSRI
Persian site map - English site map - Created in 0.05 seconds with 42 queries by YEKTAWEB 4660