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:: 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:   (424 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]   (396 Downloads)    
Type of Study: Applicable | Subject: General
Received: 2021/04/30 | Accepted: 2022/05/1 | Published: 2020/08/22
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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


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Volume 17, Issue 1 (8-2020) Back to browse issues page
مجله‌ی پژوهش‌های آماری ایران Journal of Statistical Research of Iran JSRI
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