Premium
EFFECTS OF CORRELATED ERRORS ON VARIATE‐ DIFFERENCE ESTIMATES OF ERROR VARIANCE * , 1
Author(s) -
Chew Victor
Publication year - 1965
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1965.tb00255.x
Subject(s) - random variate , uncorrelated , variance (accounting) , statistics , autoregressive model , mathematics , control variates , random error , econometrics , monte carlo method , random variable , economics , hybrid monte carlo , accounting , markov chain monte carlo
The variate‐difference method for estimating error variance is shown to be sensitive to departures from the assumption of uncorrelated errors. Biases in the estimates are obtained in the cases where the errors are generated by autoregressive or moving‐average stochastic processes.