Estimation of AR (2) Model with Dependent Errors for Bounded Stationary and Uncompleted Nonstationary Time Series | ||
| مجلة الشروق للعلوم التجارية | ||
| Volume 14, Issue 14, 2022, Pages 145-171 PDF (467.94 K) | ||
| Document Type: المقالة الأصلية | ||
| DOI: 10.21608/sjcs.2022.225239 | ||
| Author | ||
| د. محمد أحمد فاروق أحمد | ||
| Abstract | ||
| In this paper, the GLS and the ML estimators, the variance-covariance matrix, the unbiasedness for the GLS and the ML estimators of AR (2) model with dependent errors have been proved. A simulation study has been provided for bounded stationary (uncompleted nonstationary) under different conditions (five cases have been provided), for different sample sizes using MSE and Thiel’s U as criteria for comparison. | ||
| Keywords | ||
| AR (2) Model; GLS Estimators; ML Estimators; Mean Squared Error; Thiel's Inequality Coefficient; Bounded Stationary Time Series; Bounded Uncompleted Nonstationary Time Series | ||
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