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Linear contrasts in one-way classication AR(1) model with gamma innovations

Year 2016, Volume: 45 Issue: 6, 1743 - 1754, 01.12.2016

Birdal Şenoğlu Özlem Türker Bayrak

Abstract

In this study, the explicit estimators of the model parameters in oneway classification AR(1) model with gamma innovations are derived
by using modified maximum likelihood (MML) methodology. We also
propose a new test statistic for testing linear contrasts. Monte Carlo
simulation results show that the MML estimators have higher efficiencies than the traditional least squares (LS) estimators and the proposed
test has much better power and robustness properties than the normaltheory test.


Keywords

Autoregressive model linear contrasts nonnormality robustness modied likelihood gamma distribution

References

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Year 2016, Volume: 45 Issue: 6, 1743 - 1754, 01.12.2016

Birdal Şenoğlu Özlem Türker Bayrak

Abstract

References

  • . . .
There are 1 citations in total.

Details

Primary Language English
Subjects Mathematical Sciences
Journal Section Mathematics
Authors

Birdal Şenoğlu

Özlem Türker Bayrak This is me

Publication Date December 1, 2016
Published in Issue Year 2016 Volume: 45 Issue: 6

Cite

APA Şenoğlu, B., & Bayrak, Ö. T. (2016). Linear contrasts in one-way classication AR(1) model with gamma innovations. Hacettepe Journal of Mathematics and Statistics, 45(6), 1743-1754.
AMA Şenoğlu B, Bayrak ÖT. Linear contrasts in one-way classication AR(1) model with gamma innovations. Hacettepe Journal of Mathematics and Statistics. December 2016;45(6):1743-1754.
Chicago Şenoğlu, Birdal, and Özlem Türker Bayrak. “Linear Contrasts in One-Way classication AR(1) Model With Gamma Innovations”. Hacettepe Journal of Mathematics and Statistics 45, no. 6 (December 2016): 1743-54.
EndNote Şenoğlu B, Bayrak ÖT (December 1, 2016) Linear contrasts in one-way classication AR(1) model with gamma innovations. Hacettepe Journal of Mathematics and Statistics 45 6 1743–1754.
IEEE B. Şenoğlu and Ö. T. Bayrak, “Linear contrasts in one-way classication AR(1) model with gamma innovations”, Hacettepe Journal of Mathematics and Statistics, vol. 45, no. 6, pp. 1743–1754, 2016.
ISNAD Şenoğlu, Birdal - Bayrak, Özlem Türker. “Linear Contrasts in One-Way classication AR(1) Model With Gamma Innovations”. Hacettepe Journal of Mathematics and Statistics 45/6 (December 2016), 1743-1754.
JAMA Şenoğlu B, Bayrak ÖT. Linear contrasts in one-way classication AR(1) model with gamma innovations. Hacettepe Journal of Mathematics and Statistics. 2016;45:1743–1754.
MLA Şenoğlu, Birdal and Özlem Türker Bayrak. “Linear Contrasts in One-Way classication AR(1) Model With Gamma Innovations”. Hacettepe Journal of Mathematics and Statistics, vol. 45, no. 6, 2016, pp. 1743-54.
Vancouver Şenoğlu B, Bayrak ÖT. Linear contrasts in one-way classication AR(1) model with gamma innovations. Hacettepe Journal of Mathematics and Statistics. 2016;45(6):1743-54.

https://dergipark.org.tr/en/pub/hujms