On nonstandard estimation methods in autoregression models in unstable cases.
A. N. Startsev1, T. S. Mirzaev2
|Annotation||In the report is suggested some estimates of autoregression parameters that are different in comparison of the least squares estimates (LSE). LSE in the unstable (critical) cases, i.e. when the characteristic equation roots are lain on the unit circle, have, as a rule, compound limit distributions. Suggested by us nonstandard estimates in majority cases have more simple limit distributions.|
|Keywords||the first order simple autoregression, one-dimensional simultaneous autoregression, spatial autoregression of the first order, simple autoregression of the second order, parameter estimates, nonstandard approach, limit distributions.|
1Professor, Branch of Russia Economic University named G.V.Plekhanov in Tashkent, e-mail: email@example.com.
2Minor sc. worker, Institute of Mathematics and Information Technologies, Uzbek Academy of Sciences., Tashkent, e-mail: firstname.lastname@example.org.
Citation: A. N. Startsev , T. S. Mirzaev , "[On nonstandard estimation methods in autoregression models in unstable cases.]", Zhurnal Srednevolzhskogo matematicheskogo obshchestva,13:2 (2011) 25–35 (In Russian)