비정규 오차를 고려한 자기회귀모형의 추정법 및 예측성능에 관한 연구A Study of Estimation Method for Auto-Regressive Model with Non-Normal Error and Its Prediction Accuracy
- Other Titles
- A Study of Estimation Method for Auto-Regressive Model with Non-Normal Error and Its Prediction Accuracy
- Authors
- 임보미; 박정술; 김준석; 김성식; 백준걸
- Issue Date
- 2013
- Publisher
- 대한산업공학회
- Keywords
- Time Series Analysis; Auto-Regressive Model; Pearson Distribution System; Maximum Likelihood Estimation; Non-Normal Data
- Citation
- 대한산업공학회지, v.39, no.2, pp.109 - 118
- Indexed
- KCI
- Journal Title
- 대한산업공학회지
- Volume
- 39
- Number
- 2
- Start Page
- 109
- End Page
- 118
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/105838
- DOI
- 10.7232/JKIIE.2013.39.2.109
- ISSN
- 1225-0988
- 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.
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Collections - College of Engineering > School of Industrial and Management Engineering > 1. Journal Articles
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