Abstract
Hurwicz estimator for Autoregressive model with Generalized Error Distributed Innovations
by
Sri Ranganath C. G.
The Hurwicz estimator for autoregressive model of order one driven
by a sequence of independent identically distributed random variables
following generalized error distribution is considered. The asymptotic
behavior of the test for testing the autoregressive parameter is studied.
Simulations are carried out to check the performance of the estimators.
We fitted this model to BSE Index and Nifty 50 Index and the model
is suitable for the data.
Committee
Workshop
Key Dates
Communication
First Conference Link