Efficiencies of Weighted Averages in Stationary Autoregressive Processes
作者:
MichaelE. Mack,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1986)
卷期:
Volume 81,
issue 395
页码: 730-735
ISSN:0162-1459
年代: 1986
DOI:10.1080/01621459.1986.10478329
出版商: Taylor & Francis Group
关键词: First-order efficiency;Second-order efficiency;Time series
数据来源: Taylor
摘要:
The criterion of second-order efficiency is used to distinguish among estimators, which have the same asymptotic variance, of the mean of a stationary autoregressive process. The best linear unbiased estimator is typically unknown, since it depends on the parameters of the process. It is demonstrated by second-order efficiency that the sample mean performs poorly under certain conditions, whereas some weighted averages maintain a more consistent performance as the parameters of the underlying process are allowed to vary. Numerical examples are shown for second-and third-order autoregressive processes.
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