RecordNumber
4026
Author
Mahmoudi, Eisa
Crop_Body
Eisa Mahmoudi, Soudabe Sajjadipanah and Mohammadsadegh Zamani
Title of Article
Two-stage Procedure in P-Order Autoregressive Process
Title Of Journal
مجله پژوهشهاي آماري ايران
PublishInfo
Statistical Research and Training Center پژوهشكده آمار
Publication Year
2020
Volum
17
Issue Number
1
Page
45-62
Keywords
Asymptotically consistent , asymptotically efficient , asymptotically risk efficient , fixed size confidence ellipsoids , two-stage procedure
Abstract
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.