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Browsing by Author "Bayrak, O.T."

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    Autoregressive Models With Stochastic Design Variables and Nonnormal Innovations
    (2011) Bayrak, O.T.; Akkaya, A.D.
    In autoregression models the design variable has traditionally been assumed to be non-stochastic and innovations are normal. In most real life situations, however, the design variable is stochastic having a non-normal distribution as the innovations. Modified maximum likelihood method is utilized to estimate unknown parameters in such situations. Closed form estimators are obtained and shown to be efficient and robust.