BIR O‘LCHOVLI VA FAZOVIY BIRINCHI TARTIBLI AVTOREGRESSIV MODELLARDA NOSTANDART BAHOLASH USULLARI
Kalit so‘zlar:
Bir o‘lchovli avtoregressiya modeli, limit teorema, Viner jarayoni, eng kichik kvadratlar usuli, nostandart baholash usuli, normal taqsimot qonuni.Abstrak
Ushbu maqolada avtoregressiya modellari uchun eng kichik kvadratlar baholagichlaridan farq qiluvchi alternativ parametr baholovchilari taklif etiladi. Beqaror (yoki kritik) holatlarda, ya’ni xarakteristik tenglama ildizlari birlik aylana ustida joylashgan hollarda, eng kichik kvadratlar baholagichlari odatda murakkab asimptotik taqsimotga ega bo‘ladi. Bunga qarama-qarshi ravishda, taklif etilgan nostandart baholagichlar aksariyat kritik holatlarda oddiyroq asimptotik taqsimotga ega bo‘lishga moyildir.
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