Keywords
Autoregressive models
Abstract
Consider a sequence of random variables which obeys a first order autoregressive model with unknown parameter alpha. Under suitable assumptions on the error structure of the model, the limiting distribution of the normalized least squares estimator of alpha is discussed. The choice of the normalizing constant depends on whether alpha is less than one, equals one, or is greater than one in absolute value. In particular, the limiting distribution is normal provided that the absolute value of alpha is less than one, but is a function of Brownian motion whenever the absolute value of alpha equals one. Some general remarks are made whenever the sequence of random variables is a first order moving average process.
Notes
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Graduation Date
2012
Semester
Spring
Advisor
Richardson, Gary
Degree
Master of Science (M.S.)
College
College of Sciences
Department
Mathematics
Degree Program
Mathematical Science; Industrial Mathematics
Format
application/pdf
Identifier
CFE0004276
URL
http://purl.fcla.edu/fcla/etd/CFE0004276
Language
English
Release Date
May 2015
Length of Campus-only Access
3 years
Access Status
Masters Thesis (Open Access)
Subjects
Dissertations, Academic -- Sciences, Sciences -- Dissertations, Academic
STARS Citation
Wade, Kelly, "Autoregressive Models" (2012). Electronic Theses and Dissertations. 2322.
https://stars.library.ucf.edu/etd/2322