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Inference of Autoregressive Model with Stochastic Exogenous Variable Under Short-Tailed Symmetric Distributions

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dc.contributor.author Bayrak, Özlem Türker
dc.contributor.author Dener Akkaya, Ayşen
dc.date.accessioned 2020-03-17T13:30:15Z
dc.date.available 2020-03-17T13:30:15Z
dc.date.issued 2018-12
dc.identifier.citation Bayrak, Ozlem Tuker; Akkaya, Aysen Dener, "Inference of Autoregressive Model with Stochastic Exogenous Variable Under Short-Tailed Symmetric Distributions", Iranian Journal of Science and Technology Transaction a-Science, Vol. 42, No. A4, pp. 2105-2116, (2018). tr_TR
dc.identifier.issn 1028-6276
dc.identifier.uri http://hdl.handle.net/20.500.12416/2654
dc.description.abstract In classical autoregressive models, it is assumed that the disturbances are normally distributed and the exogenous variable is non-stochastic. However, in practice, short-tailed symmetric disturbances occur frequently and exogenous variable is actually stochastic. In this paper, estimation of the parameters in autoregressive models with stochastic exogenous variable and non-normal disturbances both having short-tailed symmetric distribution is considered. This is the first study in this area as known to the authors. In this situation, maximum likelihood estimation technique is problematic and requires numerical solution which may have convergence problems and can cause bias. Besides, statistical properties of the estimators can not be obtained due to non-explicit functions. It is also known that least squares estimation technique yields neither efficient nor robust estimators. Therefore, modified maximum likelihood estimation technique is utilized in this study. It is shown that the estimators are highly efficient, robust to plausible alternatives having different forms of symmetric short-tailedness in the sample and explicit functions of data overcoming the necessity of numerical solution. A real life application is also given. tr_TR
dc.language.iso eng tr_TR
dc.publisher Springer International Publishing AG tr_TR
dc.relation.isversionof 10.1007/s40995-017-0448-x tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Autoregression tr_TR
dc.subject Modified Maximum Likelihood tr_TR
dc.subject Non-Normality tr_TR
dc.subject Robustness tr_TR
dc.title Inference of Autoregressive Model with Stochastic Exogenous Variable Under Short-Tailed Symmetric Distributions tr_TR
dc.type article tr_TR
dc.relation.journal Iranian Journal of Science and Technology Transaction a-Science tr_TR
dc.contributor.authorID 56416 tr_TR
dc.identifier.volume 42 tr_TR
dc.identifier.issue A4 tr_TR
dc.identifier.startpage 2105 tr_TR
dc.identifier.endpage 2116 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve idari bilimler Fakültesi, İstatistik Bilim Dalı tr_TR


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