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Autoregressive Models

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Date Issued:
2012
Abstract/Description:
Consider a sequence of random variables which obeys a first order autoregressive model with unknown parameter alpha. Under suitable assumptions on the error structure of the model, the limiting distribution of the normalized least squares estimator of alpha is discussed. The choice of the normalizing constant depends on whether alpha is less than one, equals one, or is greater than one in absolute value. In particular, the limiting distribution is normal provided that the absolute value of alpha is less than one, but is a function of Brownian motion whenever the absolute value of alpha equals one. Some general remarks are made whenever the sequence of random variables is a first order moving average process.
Title: Autoregressive Models.
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Name(s): Wade, William, Author
Richardson, Gary, Committee Chair
Pensky, Marianna, Committee Member
Li, Xin, Committee Member
, Committee Member
University of Central Florida, Degree Grantor
Type of Resource: text
Date Issued: 2012
Publisher: University of Central Florida
Language(s): English
Abstract/Description: Consider a sequence of random variables which obeys a first order autoregressive model with unknown parameter alpha. Under suitable assumptions on the error structure of the model, the limiting distribution of the normalized least squares estimator of alpha is discussed. The choice of the normalizing constant depends on whether alpha is less than one, equals one, or is greater than one in absolute value. In particular, the limiting distribution is normal provided that the absolute value of alpha is less than one, but is a function of Brownian motion whenever the absolute value of alpha equals one. Some general remarks are made whenever the sequence of random variables is a first order moving average process.
Identifier: CFE0004276 (IID), ucf:49546 (fedora)
Note(s): 2012-05-01
M.S.
Sciences, Mathematics
Masters
This record was generated from author submitted information.
Subject(s): Autoregressive Models
Persistent Link to This Record: http://purl.flvc.org/ucf/fd/CFE0004276
Restrictions on Access: campus 2015-05-15
Host Institution: UCF

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