| Title |
Agreguotų AR(1) procesų autoregresijos parametro tankio vertinimo metodų palyginimas / |
| Translation of Title |
Comparison of estimation methods for the density of autoregressive parameter in aggregated AR(1) processes. |
| Authors |
Celov, Dmitrij ; Leipus, Remigijus ; Kvedaras, Virmantas |
| DOI |
10.15388/LMR.2007.24253 |
| Full Text |
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| Is Part of |
Lietuvos matematikos rinkinys.. Vilnius : Vilniaus universiteto leidykla. 2007, t. 47, spec. nr, p. 508-516.. ISSN 0132-2818 |
| Keywords [eng] |
Random coefficient AR(1) ; Aggregation ; Disaggregation ; Long memory ; Density, mixture |
| Abstract [eng] |
The article investigates the properties of two alternative disaggregation methods. First one, proposed in Chong (2006), is based on the assumption of polynomial autoregressive parameter density. Second one, proposed in Leipus et al. (2006), uses the approximation of the density by the means of Gegenbauer polynomials. Examining results of Monte-Carlo simulations it is shown that none of the methods was found to outperform another. Chong's method is narrowed by the class of polynomial densities, and the second method is not effective in the presence of common innovations. Both methods work correctly under assumptions proposed in the corresponding articles. |
| Published |
Vilnius : Vilniaus universiteto leidykla |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2007 |
| CC license |
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