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Autoregressive Models
 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): 
20120501 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 20150515  
Host Institution:  UCF 