비정규 오차를 고려한 자기회귀모형의 추정법 및 예측성능에 관한 연구

Abstract

We propose a method for estimating coefficients of AR (autoregressive) model which named MLPAR (Maximum Likelihood of Pearson system for Auto-Regressive model). In the present method for estimating coefficients ofAR model, there is an assumption that residual or error term of the model follows the normal distribution. In common cases, we can observe that the error of AR model does not follow the normal distribution. So the normal assumption will cause decreasing prediction accuracy of AR model. In the paper, we propose the MLPAR which does not assume the normal distribution of error term. The MLPAR estimates coefficients of auto-regressive model and distribution moments of residual by using pearson distribution system and maximum likelihood estimation. Comparing proposed method to auto-regressive model, results are shown to verify improved performance of the MLPAR in terms of prediction accuracy.