Advances and Applications in Statistics
Volume 49, Issue 6, Pages 485 - 492
(December 2016) http://dx.doi.org/10.17654/AS049060485 |
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ESTIMATION OF AR(1) MODELS WITH MISSING VALUES
Sayed Mesheal El-Sayed, Ahmed Amin El-Sheikh and Mahmoud Mohamed Abdelwahab
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Abstract: In this article, a new form of the estimates for the first order auto-regressive model AR(1) with (without) constant term in case of missing values is derived. In addition, the properties of the estimates, linearity, unbiasedness and the BLUE are discussed. |
Keywords and phrases: time series, AR(1) model, OLS method, missing values, BLUE. |
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