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Estimation of Parameters in the NLAR( p ) Model
Author(s) -
Zhu Fukang,
Wang Dehui
Publication year - 2008
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2008.00574.x
Subject(s) - mathematics , autoregressive model , statistics , maximum likelihood , estimation , laplace transform , econometrics , mathematical analysis , management , economics
Abstract. In this article, we study a new Laplace autoregressive model of order p – NLAR( p ). Conditional least squares, weighted conditional least squares and maximum quasi‐likelihood are used to estimate the model parameters. Comparisons among these estimates of the NLAR(2) model are given via simulation studies.