Communications for Statistical Applications and Methods

  • 제3권3호
  • /
  • Pages.59-74
  • /
  • 1996
  • /
  • 2287-7843(pISSN)
  • /
  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

A Study on the Least Squared Estimator of Autoregressive Models when Consecutive Missing Observations Exist

  • Ryu, Gui-Yeol (Department of Applied Statistics, Seo Kyeong University, Chongnung-Dong)
  • 발행 : 1996.12.01
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초록

The properties of the residuals are investigated when K-consecutive observations are interpolated. The central limit theorem is also proved for the LSE for autoregressive parameters when $\kappa4--consecutive observations are contaminated. The performance of the interpolated LSE in small samples is investigated by simulation. And the interpolated with the Yule-Walker type estimator.

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참고문헌

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