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Estimation in Autoregressive Process with Non-negative Innovations
이광호,박정건,Lee, Kwang-Ho,Park, Jeong-Gun Korean Data and Information Science Society 1992 한국데이터정보과학회지 Vol.3 No.1
In this paper, we obtain the natural estimators of the coefficient parameters and propose strongly consistent estimators of the parameter in the autoregressive model of order three with non-negative innovations. It is shown that the natural estimators are also strongly consistent for the parameters. We also compare the proposed estimators with the natural estimators and the least square estimators via Monte Carlo simulation studies.