ESTIMATION FOR REGRESSIVE AND AUTOREGRESSIVE MODELS WITH NON-NEGATIVE RESIDUAL ERRORS |
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Authors: | An Hong-Zhi Huang Fuchun |
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Affiliation: | Academia Sinica, China |
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Abstract: | Abstract. The parameter estimation problems for regressive and autoregressive models are investigated. A new procedure is proposed which differs from the least squares method. Theorems relating to the rate of almost sure convergence of the new estimators are formulated. Some simulation results are also shown. With these convergent rates and simulation results a clear comparison of the new estimator with the least squares estimator is obtained. |
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Keywords: | Regression autoregression non-negative variables estimation of parameters strong convergence |
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