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, Page 145-171 PDF (467.94 K) | ||||
| Document Type: المقالة الأصلية | ||||
| DOI: 10.21608/sjcs.2022.225239 | ||||
 View on SCiNiTO | ||||
| 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 | ||||
|
Statistics Article View: 85 PDF Download: 68 |
||||
