Consistency of model selection and parameter estimation

1986 ◽  
Vol 23 (A) ◽  
pp. 127-141 ◽  
Author(s):  
Ritei Shibata
Keyword(s):  
Parameter Estimation ◽  
Model Selection ◽  
Lower Order ◽  
Moving Average ◽  
Information Matrix ◽  
Autoregressive Moving Average ◽  
Moving Average Models ◽  
The Cost ◽  
The Relationship ◽  
Autoregressive Moving Average Models

The relationship between consistency of model selection and that of parameter estimation is investigated. It is shown that the consistency of model selection is achieved at the cost of a lower order of consistency of the resulting estimate of parameters in some domain. The situation is different when selecting autoregressive moving average models, since the information matrix becomes singular when overfitted. Some detailed analyses of the consistency are given in this case.

Consistency of model selection and parameter estimation

1986 ◽  
Vol 23 (A) ◽  
pp. 127-141 ◽  
Author(s):  
Ritei Shibata
Keyword(s):  
Parameter Estimation ◽  
Model Selection ◽  
Lower Order ◽  
Moving Average ◽  
Information Matrix ◽  
Autoregressive Moving Average ◽  
Moving Average Models ◽  
The Cost ◽  
The Relationship ◽  
Autoregressive Moving Average Models

The relationship between consistency of model selection and that of parameter estimation is investigated. It is shown that the consistency of model selection is achieved at the cost of a lower order of consistency of the resulting estimate of parameters in some domain. The situation is different when selecting autoregressive moving average models, since the information matrix becomes singular when overfitted. Some detailed analyses of the consistency are given in this case.

Using The Fully Modified M Method In Estimating The Effect Of Cultivated Area On Barley Production In Iraq For The Period 1970-2018

2020 ◽  
Vol 2020 (66) ◽  
pp. 101-110
Author(s):  
. Azhar Kadhim Jbarah ◽  
Prof Dr. Ahmed Shaker Mohammed
Keyword(s):  
Regression Model ◽  
Moving Average ◽  
Estimation Method ◽  
Estimation Methods ◽  
Autoregressive Moving Average ◽  
Moving Average Models ◽  
Error Terms ◽  
Relationship Of ◽  
The Relationship ◽  
Barley Crop

The research is concerned with estimating the effect of the cultivated area of barley crop on the production of that crop by estimating the regression model representing the relationship of these two variables. The results of the tests indicated that the time series of the response variable values is stationary and the series of values of the explanatory variable were nonstationary and that they were integrated of order one ( I(1) ), these tests also indicate that the random error terms are auto correlated and can be modeled according to the mixed autoregressive-moving average models ARMA(p,q), for these results we cannot use the classical estimation method to estimate our regression model, therefore, a fully modified M method was adopted, which is a robust estimation methods, The estimated results indicate a positive significant relation between the production of barley crop and cultivated area.

Sign in / Sign up

Export Citation Format

Share Document