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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 장전수학회 Proceedings of the Jangjeon Mathematical Society Proceedings of the Jangjeon Mathematical Society Vol.22 No.1
- 발행연도
- 2019.1
- 수록면
- 43 - 50 (8page)
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초록· 키워드
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This study is aimed to compare several de nitions of error assumption in Generalized Space Time Autoregressive (GSTAR) (1;1) model. This de nition is needed since the assumption of normal and identically distributed (iid ) is di cult to be satis ed. Four assump- tions are simulated in this article respectively spatial correlated error, time correlated error, spatial and time correlated error with martingale di erence, and spatial and time correlated error with beta estimator. By using Monte Carlo simulation, a thousand replications in thirteen locations are done towards GSTAR (1;1) model with varied amount of random data. The result shows that convergence of generalized least square (GLS) estimation approaches the real parameter is faster gained by spatial and time correlated error with martingale di erence assump- tion. This new de nition of error assumption provides a more precise GSTAR (1;1) model.
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참고문헌 (10)
참고문헌 신청
Borovkova, S. / 2008 / Consistency and asymptotic normality of least squares estimators in generalized STAR models / Statistica Neer-landica 62:482~508
Craigmile, P. F. / 2011 / Space-time modelling of trends in temperature series / Journal of Time Series Analysis 32:378~395
Hamilton, J. D. / 1994 / Time series analysis / Princeton University Press
Horn, A. R. / 2013 / Matrix analysis / Cambridge University Press
Huser, R. / 2014 / Space-time modelling of extreme events / Journal of the Royal Statistical Society B 76:439~461
Craigmile, P. F. / 2011 / Space-time modelling of trends in temperature series / Journal of Time Series Analysis 32:378~395
Hamilton, J. D. / 1994 / Time series analysis / Princeton University Press
Horn, A. R. / 2013 / Matrix analysis / Cambridge University Press
Huser, R. / 2014 / Space-time modelling of extreme events / Journal of the Royal Statistical Society B 76:439~461
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