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Estimation For Regressive And Autoregressive Models With Non‐Negative Residual Errors

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  • An Hong‐Zhi
  • Huang Fuchun

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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  • An Hong‐Zhi & Huang Fuchun, 1993. "Estimation For Regressive And Autoregressive Models With Non‐Negative Residual Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(2), pages 179-191, March.
    • Handle: RePEc:bla:jtsera:v:14:y:1993:i:2:p:179-191
    DOI: 10.1111/j.1467-9892.1993.tb00136.x
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    Cited by:

    1. Knight, Keith, 2003. "Asymptotic theory for M-estimators of boundaries," SFB 373 Discussion Papers 2003,37, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

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