2017 | 344 | 97-118
Article title

On bias of LS estimators of the parameters in autoregressive model AR(2)

Title variants
O obciążeniu estymatora MNK parametrów modelu autoregresji AR(2)
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In this article, presented the formula for bias of the conditional LS estimator of the parameters of autoregressive model of lag two with null constant parameter based on four observations. It has been shown that the crucial role in determining the bias of LS estimators in AR(2) models plays the random variable. The formula for the bias of the LS estimators is supplemented by its approximation with the boundary of the error of approximation.
W artykule przedstawiono wzór na obciążenie warunkowego estymatora parametrów modelu autoregresji rzędu drugiego z uwzględnieniem czterech obserwacji. Wskazano na kluczową rolę zmiennej losowej. Dodatkowo obciążenie estymatora parametrów autoregresji wyrażono w formie przybliżonej i podano wzór na błąd takiego przybliżenia.
Physical description
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