Agreguotų AR(1) procesų autoregresijos parametro tankio vertinimo metodų palyginimas
Straipsniai
Dmitrij Celov
Vilniaus universitetas
Remigijus Leipus
Vilniaus universitetas, Matematikos ir informatikos institutas
Virmantas Kvedaras
Vilniaus universitetas
Publikuota 2021-06-15
https://doi.org/10.15388/LMR.2007.24253
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Kaip cituoti

Celov , D. , Leipus, R. and Kvedaras, V. (2021) “Agreguotų AR(1) procesų autoregresijos parametro tankio vertinimo metodų palyginimas”, Lietuvos matematikos rinkinys, 47(spec.), pp. 508–516. doi:10.15388/LMR.2007.24253.

Santrauka

The article investigates the properties of two alternative disaggregation methods. First one, proposed in Chong (2006), is based on the assumption of polynomial autoregressive parameter density. Second one, proposed in Leipus et al. (2006), uses the approximation of the density by the means of Gegenbauer polynomials. Examining results of Monte-Carlo simulations it is shown that none of the methods was found to outperform another. Chong’s method is narrowed by the class of polynomial densities, and the secondmethod is not effective in the presence of common innovations.Bothmethodswork correctly under assumptions proposed in the corresponding articles.

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