Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters

被引：6

作者：

Shitan, Mahendran ^{[1
,2
]}

Peiris, Shelton ^{[3
]}

机构：

[1] Univ Putra Malaysia, Dept Math, Serdang 43400, Malaysia

[2] Univ Putra Malaysia, Inst Math Res, Lab Computat Stat & Operat Res, Serdang 43400, Malaysia

[3] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2013年 / 42卷 / 05期

关键词：

Asymptotic; Covariance; Generalized Autoregression; Spectral density; Time series; Variance; Whittle's estimation; 62M10;

D O I：

10.1080/03610926.2011.569862

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Generalized Autoregressive (GAR) processes have been considered to model some features in time series. The Whittle's estimates have been investigated for the GAR(1) process by a simulation study by Shitan and Peiris (2008). This article derives approximate theoretical expressions for the enteries of the asymptotic variance-covariance matrix for those estimates of GAR(1) parameters. These results are supported by a simulation study.

引用

页码：756 / 770

页数：15

共 50 条

[41] Preconditioning of Nonlinear Mixed Effects Models for Stabilisation of Variance-Covariance Matrix Computations
Yasunori Aoki
Rikard Nordgren
Andrew C. Hooker
The AAPS Journal, 2016, 18 : 505 - 518
[42] A CLASS OF DECOMPOSITIONS OF THE VARIANCE-COVARIANCE MATRIX OF A GENERALIZED ERROR-COMPONENTS MODEL
WANSBEEK, T
KAPTEYN, A
ECONOMETRICA, 1982, 50 (03) : 713 - 724
[43] Preconditioning of Nonlinear Mixed Effects Models for Stabilisation of Variance-Covariance Matrix Computations
Aoki, Yasunori
Nordgren, Rikard
Hooker, Andrew C.
AAPS JOURNAL, 2016, 18 (02): : 505 - 518
[44] Efficient and direct estimation of the variance-covariance matrix in EM algorithm with interpolation method
Yu, Lili
Chen , Ding-Geng
Liu, Jun
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2021, 211 : 119 - 130
[45] Application of the variance-covariance matrix in natural exponential family to identify noise in signal
Ben Arab, Taher
Zribi, Mourad
Masmoudi, Afif
PROCEEDINGS 2012 IEEE INTERNATIONAL CONFERENCE ON SYSTEMS, MAN, AND CYBERNETICS (SMC), 2012, : 1054 - 1057
[46] General formulas for obtaining the MLEs and the asymptotic variance-covariance matrix in mapping quantitative trait loci when using the EM algorithm
Kao, CH
Zeng, ZB
BIOMETRICS, 1997, 53 (02) : 653 - 665
[47] Imputation based mean estimators in case of missing data utilizing robust regression and variance-covariance matrices
Shahzad, Usman
Al-Noor, Nadia H.
Hanif, Muhammad
Sajjad, Irsa
Anas, Malik
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2022, 51 (08) : 4276 - 4295
[48] AN ANALYSIS OF VARIANCE-COVARIANCE MATRIX OF HARMONIC GEOPOTENTIAL COEFFICIENTS OF GEM-L2
KLOKOCNIK, J
BULLETIN OF THE ASTRONOMICAL INSTITUTES OF CZECHOSLOVAKIA, 1986, 37 (02): : 91 - &
[49] Effects of interspecific gene flow on the phenotypic variance-covariance matrix in Lake Victoria Cichlids
Lucek, Kay
Greuter, Lucie
Selz, Oliver M.
Seehausen, Ole
HYDROBIOLOGIA, 2017, 791 (01) : 145 - 154
[50] Comprehensive analysis of market conditions in the foreign exchange marketFluctuation scaling and variance-covariance matrix
Aki-Hiro Sato
Takaki Hayashi
Janusz A. Hołyst
Journal of Economic Interaction and Coordination, 2012, 7 : 167 - 179

← 1 2 3 4 5 →