BIR VAQTLI AVTOREGRESSIYA MODELLARIDA NOMA’LUM PARAMETRLARNI BAHOLARI UCHUN LIMIT TEOREMALAR
Kalit so‘zlar:
Bir vaqtli avtoregressiya modeli, limit teorema, viner jarayoni, eng kichik kvadratlar usuli, normal taqsimot qonuni.Abstrak
Ushbu maqolada bir vaqtli avtoregressiya modeli uchun parametrlarni baholashning yangi g’oyalari taklif etilgan. Taklif etilgan baholashlar, odatdagi an’anaviy eng kichik kvadratlar usulida olingan baholashlarga qaraganda oddiyroq limit taqsimotga ega.
References
Baran. S., Pap. G. Asymptotic inference for a one-dimensional simultaneous autoregressive model // Metrika, 2009. DOI 10.1007/s00184-009-0289-5.
Anderson T.V. On asymptotic distributions of estimates of parameters of stochastic difference Equations // Ann. Math. Statist, 1959. -V.30. -Pp. 676-687.
White, J.S. The limiting distribution of the serial correlation coefficient in the explosive case // Ann. Math. Statist, 1958. -V. 29. -Pp. 1188-1197.
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