The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Efficient Estimation of Regression Coefficients in Regression Model with Moving Average Process

오차항이 이동평균과정을 따르는 회귀모형에서 회귀계수의 효율적 추정에 관한 연구

  • 송석현 (덕성여자대학교 통계학과) ;
  • 이종협 (성신여자대학교 통계학과) ;
  • 김기환 (고려대학교 통계학과)
  • Published : 1999.03.01
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Abstract

일반적으로 오차항이 자기상관되어 있는 선형회귀 모형에서는 회귀계수에 대한 보통최소제곱추정량이 효율적이지 못 하다고 알려져 있다. 그러나 이러한 일반화선형회귀모형에서 독립변수의 형태에 따라서는 OLSE의 사용 가능성을 제시하는 모형이 있다. 본 연구에서는 오차항이 일차 이동평균 과정을 따르는 선형회귀모형에서 여러 추정량들 (GLSE, APX, MAPX)에 대한 OLSE의 상대효율함수를 유도하고 비교 분석하고자 한다. 특히 소표본에서 정확한 상대효율값을 구하여 OLSE의 효율성이 크게 떨어지지 않거나 효율성이 나은 회귀모형들을 제시한다.

Keywords

References

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