Asymptotic Properties Of Some Estimators In Moving Average Models PDF Download
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Author | : Stanford University. Department of Statistics |
Publisher | : |
Total Pages | : 318 |
Release | : 1975 |
Genre | : Time-series analysis |
ISBN | : |
Download Asymptotic Properties of Some Estimators in Moving Average Models Book in PDF, ePub and Kindle
The author considers estimation procedures for the moving average model of order q. Walker's method uses k sample autocovariances (k> or = q). Assume that k depends on T in such a way that k nears infinity as T nears infinity. The estimates are consistent, asymptotically normal and asymptotically efficient if k = k (T) dominates log T and is dominated by (T sub 1/2). The approach in proving these theorems involves obtaining an explicit form for the components of the inverse of a symmetric matrix with equal elements along its five central diagonals, and zeroes elsewhere. The asymptotic normality follows from a central limit theorem for normalized sums of random variables that are dependent of order k, where k tends to infinity with T. An alternative form of the estimator facilitates the calculations and the analysis of the role of k, without changing the asymptotic properties.
Author | : Pentti Saikkonen |
Publisher | : |
Total Pages | : 31 |
Release | : 1984 |
Genre | : |
ISBN | : 9789514532917 |
Download Asymptotic Properties of Some Preliminary Estimators for Autoregressive Moving Average Time Series Models Book in PDF, ePub and Kindle
Author | : Katsuto Tanaka |
Publisher | : |
Total Pages | : 38 |
Release | : 1987 |
Genre | : Econometric models |
ISBN | : 9780868311517 |
Download Asymptomatic Properties of the Maximum Likelihood and Non-linear Least Squares Estimators for Noninvertible Moving Average Models Book in PDF, ePub and Kindle
Author | : M. Lawrence Clevenson |
Publisher | : |
Total Pages | : 212 |
Release | : 1970 |
Genre | : Time-series analysis |
ISBN | : |
Download Asymptotically Efficient Estimates of the Parameters of a Moving Average Time Series Book in PDF, ePub and Kindle
The thesis is concerned with the estimation of the parameters of a moving average time series, (x sub t, t= 0, plus or minus 1, plus or minus 2 ...), of order M. By definition, such a series has the representation x sub t = (eta sub t) + (b sub 1)(eta sub (t-1)) + (b sub 2)(eta sub (t-2)) + ... + (b sub M)(eta sub (+-M)) for some series of uncorrelated, identically distributed random variables eta sub t, t = 0, plus or minus 1, plus or minus 2 ...). It is assumed that the process has mean zero and is a Gaussian process; hence eta sub t has a normal distribution with mean and some unknown variance (sigma sub n) squared. The goal is to find asymptotically normal and efficient estimates of the parameters of the model. (Author).
Author | : Norbert Miethe |
Publisher | : |
Total Pages | : 22 |
Release | : 1979 |
Genre | : |
ISBN | : |
Download Asymptotic properties of tests in autoregressive moving average models Book in PDF, ePub and Kindle
Author | : Mary Kathleen Vickers |
Publisher | : |
Total Pages | : 312 |
Release | : 1977 |
Genre | : Asymptotes |
ISBN | : |
Download Optimal Asymptotic Properties of Maximum Likelihood Estimators of Parameters of Some Econometric Models Book in PDF, ePub and Kindle
Four theorems are proven, which simplify the application to econometric models of Weiss's theorem on asymptotic properties of maximum likelihood estimators in nonstandard cases. The theorems require, roughly: the uniform convergence in any compact sets of the unknown parameters of the expection of the Hessian matrix of the log likelihood function; and the uniform convergence to 0 in the same sense of the variance of the same quantities. The fourth theorem allows one to conclude that the optimal properties hold on an image set of the parameters when the map satisfies certain smoothness conditions, and the first three theorems are satisfied for the original parameter set. These four theorems are applied to autoregressive models, nonlinear models, systems of equations, and probit and logit models to infer optimal asymptotic properties. (Author).
Author | : Boaz Porat |
Publisher | : |
Total Pages | : 24 |
Release | : 1984 |
Genre | : |
ISBN | : |
Download Some Asymptotic Properties of the Sample Covariances of Gaussian Autoregressive Moving Average Processes Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 1460 |
Release | : 1991 |
Genre | : Aeronautics |
ISBN | : |
Download Scientific and Technical Aerospace Reports Book in PDF, ePub and Kindle
Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.
Author | : Phoebus J. Dhrymes |
Publisher | : |
Total Pages | : 19 |
Release | : 1973 |
Genre | : |
ISBN | : |
Download Asymptotic Properties of Full Information Estimators in Dynamic Autoregressive Simulataneous Equation Models Book in PDF, ePub and Kindle
Author | : Friedrich Schmid |
Publisher | : |
Total Pages | : 45 |
Release | : 1982 |
Genre | : |
ISBN | : |
Download Asymptotic Properties of Estimators in Non-linear Regression Models with Autoregressive Disturbance Terms Book in PDF, ePub and Kindle