A Study on the Least Squared Estimator of Autoregressive Models when Consecutive Missing Observations Exist

  • Ryu, Gui-Yeol (Department of Applied Statistics, Seo Kyeong University, Chongnung-Dong)
  • Published : 1996.12.01


The properties of the residuals are investigated when K-consecutive observations are interpolated. The central limit theorem is also proved for the LSE for autoregressive parameters when $\kappa4--consecutive observations are contaminated. The performance of the interpolated LSE in small samples is investigated by simulation. And the interpolated with the Yule-Walker type estimator.



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