A good approximation of the Gaussian likelihood of simultaneous autoregressive model which yields us an asymptotically efficient estimate of parameters

Yuki Rikimaru*, Ritei Shibata

*この研究の対応する著者

    研究成果: Article査読

    抄録

    A good approximation of the Gaussian likelihood of simultaneous autoregressive (SAR) model is proposed. The approximation yields us an asymptotically efficient estimate of the parameters. No integration of the spectral density nor any other expensive calculation is necessary, so that our estimation procedure is applicable for any SAR model without restriction. Numerical experiments show that our estimate has less bias and variance than the other estimate, although our comparison is limited to the case where random number generation and the calculation of the other estimate are both feasible.

    本文言語English
    ページ(範囲)31-46
    ページ数16
    ジャーナルJournal of Statistical Planning and Inference
    173
    DOI
    出版ステータスPublished - 2016 6月 1

    ASJC Scopus subject areas

    • 統計学、確率および不確実性
    • 応用数学
    • 統計学および確率

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