DSpace Repository

Estimation of AR(1) Model Having Generalized Logistic Disturbances

Show simple item record

dc.contributor.author Akkaya, Ayşen
dc.contributor.author Türker Bayrak, Özlem
dc.date.accessioned 2021-06-21T12:08:39Z
dc.date.available 2021-06-21T12:08:39Z
dc.date.issued 2020
dc.identifier.citation Akkaya, Ayşen; Türker Bayrak, Özlem. "Estimation of AR(1) Model Having Generalized Logistic Disturbances", 11. International Statistics Congress- ISC- 2019, Türkiye, 4 - 08 Ekim 2019. tr_TR
dc.identifier.uri http://hdl.handle.net/20.500.12416/4853
dc.description.abstract Non-normality is becoming a common feature in real life applications. Using non-normal disturbances in autoregressive models induces non-linearity in the likelihood equations so that maximum likelihood estimators cannot be derived analytically. Thus, modified maximum likelihood estimation (MMLE) technique is introduced in literature to overcome this difficulty. However, this method assumes the shape parameter to be known which is not realistic in real life. Recently, for unknown shape parameter case, adaptive modified maximum likelihood estimation (AMMLE) method that combines MMLE with Huber estimation method is suggested in literature. In this study, we adopt AMMLE method to AR(1) model where the disturbances are Generalized Logistic distributed. Although Huber M-estimation is not applicable to skew distributions, the AMMLE method extends Huber type work to skew distributions. We derive the estimators and evaluate their performance in terms of effici tr_TR
dc.language.iso eng tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Adaptive Modified Maximum Likelihood Estimation tr_TR
dc.subject Maximum Likelihood Estimation tr_TR
dc.subject Least Squares tr_TR
dc.subject Efficiency tr_TR
dc.subject Robustness tr_TR
dc.title Estimation of AR(1) Model Having Generalized Logistic Disturbances tr_TR
dc.type conferenceObject tr_TR
dc.relation.journal 11th International Statistics Congress (ISC 2019) tr_TR
dc.contributor.authorID 56416 tr_TR
dc.contributor.department Çankaya Üniversitesi, Ortak Dersler Bölümü, İstatistik Bilim Dalı tr_TR


Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record