Abstract
In this study, we review the ARIMA (p, d, q), the EWMA and the DLM (dynamic linear moodelling) procedures in brief in order to accomdate the ac(autocorrelation) structure of data .We consider the recursive estimation and prediction algorithms based on Bayes and KF (Kalman filtering) techniques for correlated observations.We investigate the effect on the MSE of these procedures and compare them using generated data.
DOI
10.33095/jeas.v15i53.1169
Subject Area
Statistical
First Page
236
Last Page
248
Recommended Citation
Naser Al-obedy, J. A. (2009). Comparison of Repetitive Estimation Method Autocorrelation Data. Journal of Economics and Administrative Sciences, 15(53), 236-248. https://doi.org/10.33095/jeas.v15i53.1169
COinS
