برآورد مدل اتورگرسیو چندکی خطی با استفاده از الگوریتم EM تصادفی

نوع مقاله : مقاله پژوهشی

نویسنده

گروه آمار، دانشکده علوم، دانشگاه زنجان، زنجان، ایران

چکیده

در این مقاله، مدل سری‌ زمانی اتورگرسیو چندکی معرفی شده است و سپس پارامترهای مدل با استفاده از الگوریتم SEM

که یک روش تکراری برای محاسبه برآوردهای ماکزیمم درستنمایی است، برآورد می‌شوند. تابع درستنمایی در مدل اتورگرسیو چندکی بر اساس توزیع لاپلاس نامتقارن و همچنین آمیخته مقیاس این توزیع بیان می‌شود و با استفاده از الگوریتمSEM پارامترهای مدل برآورد می‌شوند. کارایی و کاربرد روش پیشنهادی با مطالعات شبیه‌سازی و تحلیل داده‌های واقعی مورد ارزیابی قرار می‌گیرد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Linear quantile autoregressive model estimation using Stochastic EM algorithm

نویسنده [English]

  • mohammad bahmani
Department of Statistics, Faculty of Basic Science, Zanjan University, Zanjan, Iran
چکیده [English]

In this paper, the quantile autoregressive time series model is introduce and then

the model parameters are estimated using the Stochastic EM algorithm, which is an iterative method

to compute maximum likelihood estimates. The likelihood function for the quantile autoregressive

model is constructed based on the asymmetric Laplace distribution and a scale mixture

representation of this distribution is used to estimate the model parameters via Stochastic EM algorithm.

The efficiency and application of the proposed method are illustrated by some simulation studies and analyzing a real dataset.

کلیدواژه‌ها [English]

  • Quantile autoregressive model
  • Stochastic EM algorithm
  • Asymmetric Laplace distribution
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