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Accuracy of estimates in autoregressive models

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F07%3A00005482" target="_blank" >RIV/00216275:25410/07:00005482 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    čeština

  • Original language name

    Přesnost odhadu v autoregresních modelech

  • Original language description

    The time series analysis is very common problem of the economical practice. AR(p) models can be quite suitable tool in certain cases. The goal is to estimate the parameters of these models. The estimates can be provided by the classical methods of the mathematical statistics, but one important question emerges, respectively how exact is such estimate. The resampling methods can offer any solution when the first or second order autoregressive model is applied. Both of the mentioned methods are based in fitting of the model and subsequently in simulation of its residuals by the bootstrap process.

  • Czech name

    Přesnost odhadu v autoregresních modelech

  • Czech description

    The time series analysis is very common problem of the economical practice. AR(p) models can be quite suitable tool in certain cases. The goal is to estimate the parameters of these models. The estimates can be provided by the classical methods of the mathematical statistics, but one important question emerges, respectively how exact is such estimate. The resampling methods can offer any solution when the first or second order autoregressive model is applied. Both of the mentioned methods are based in fitting of the model and subsequently in simulation of its residuals by the bootstrap process.

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2007

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Forum Statisticum Slovacum

  • ISSN

    1336-7420

  • e-ISSN

  • Volume of the periodical

    3

  • Issue of the periodical within the volume

    4

  • Country of publishing house

    SK - SLOVAKIA

  • Number of pages

    8

  • Pages from-to

    81-88

  • UT code for WoS article

  • EID of the result in the Scopus database