Simulation in the General First Order Autoregressive Process (Unidimensional Normal Case)

1983 ◽  
pp. 50-68 ◽  
Author(s):  
Paul Doukhan
Keyword(s):  
Autoregressive Process ◽  
Normal Case ◽  
First Order

scholarly journals Robust Trend Estimation for AR(1) Disturbances

2016 ◽  
Vol 34 (2) ◽  
Author(s):  
Roland Fried ◽  
Ursula Gather
Keyword(s):  
Robust Estimation ◽  
Linear Trend ◽  
Autoregressive Process ◽  
Trend Estimation ◽  
First Order ◽  
Repeated Median

We discuss the robust estimation of a linear trend if the noise follows an autoregressive process of first order. We find the ordinary repeated median to perform well except for negative correlations. In this case it can be improved by a Prais-Winsten transformation using a robust autocorrelation estimator.

A new mixed first-order integer-valued autoregressive process with Poisson innovations

2020 ◽  
Author(s):  
Daniel L. R. Orozco ◽  
Lucas O. F. Sales ◽  
Luz M. Z. Fernández ◽  
André L. S. Pinho
Keyword(s):  
Autoregressive Process ◽  
First Order

Effect of Preview on Digital Pursuit Control Performance

1978 ◽  
Vol 20 (3) ◽  
pp. 371-377 ◽  
Author(s):  
Tarald O. Kvålseth
Keyword(s):  
Human Performance ◽  
Autoregressive Process ◽  
Control Task ◽  
Error Performance ◽  
First Order ◽  
Pursuit Control ◽  
Significant Performance ◽  
Rms Error ◽  
Different Characteristics ◽  
Reference Input

The effect of preview on human performance during a digital pursuit control task was analyzed for different preview spans and different characteristics of the reference input. The data from eight subjects revealed that the RMS error performance improved substantially from the case of no preview to that of one preview point, while the use of additional preview points did not result in any further significant performance improvement. The benefit of preview was most clearly established when the reference input was generated by a purely random process as opposed to a first-order autoregressive process (with the parameter α = 0.95). The RMS error increased when the variance of the reference input increased. The error appeared to be normally distributed with a tendency towards a negative bias.

On the inverses of some patterned matrices arising in the theory of stationary time series

1974 ◽  
Vol 11 (01) ◽  
pp. 63-71 ◽  
Author(s):  
R. F. Galbraith ◽  
J. I. Galbraith
Keyword(s):  
Moving Average ◽  
Autoregressive Process ◽  
Stationary Time Series ◽  
Autoregressive Moving Average ◽  
Average Process ◽  
Moving Average Process ◽  
First Order ◽  
Explicit Formulae ◽  
Patterned Matrices ◽  
Autoregressive Moving Average Process

Expressions are obtained for the determinant and inverse of the covariance matrix of a set of n consecutive observations on a mixed autoregressive moving average process. Explicit formulae for the inverse of this matrix are given for the general autoregressive process of order p (n ≧ p), and for the first order mixed autoregressive moving average process.

Bernstein–Frechet inequalities for the parameter of the first order autoregressive process

2005 ◽  
Vol 340 (4) ◽  
pp. 309-314
Author(s):  
Abdelnasser Dahmani ◽  
Megdouda Tari
Keyword(s):  
Autoregressive Process ◽  
First Order

An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models

2016 ◽  
Vol 8 (1) ◽  
Author(s):  
Pierre Nguimkeu
Keyword(s):  
Interest Rate ◽  
Regression Models ◽  
Real Interest Rate ◽  
Moving Average ◽  
Asymptotic Properties ◽  
Autoregressive Process ◽  
Small Samples ◽  
Average Scheme ◽  
First Order ◽  
Selection Test

AbstractThis paper proposes an improved likelihood-based method to test the hypothesis that the disturbances of a linear regression model are generated by a first-order autoregressive process against the alternative that they follow a first-order moving average scheme. Compared with existing tests which usually rely on the asymptotic properties of the estimators, the proposed method has remarkable accuracy, particularly in small samples. Simulations studies are provided to show the superior accuracy of the method compared to the traditional tests. An empirical example using Canada real interest rate illustrates the implementation of the proposed method in practice.

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