Linear contrasts in one-way classification AR(1) model with gamma innovations

Şenoğlu, BirdalBayrak, Özlem Türker2020-04-202020-04-202016Senoglu, Birdal; Bayrak, Ozlem Turker, "Linear contrasts in one-way classification AR(1) model with gamma innovations", Hacettepe Journal of Mathematics and Statistics, Vol. 45, No. 6, pp. 17-43-1754, (2016).1303-5010https://hdl.handle.net/20.500.12416/3395In this study, the explicit estimators of the model parameters in oneway classification AR(1) model with gamma innovations are derived by using modified maximum likelihood (MML) methodology. We also propose a new test statistic for testing linear contrasts. Monte Carlo simulation results show that the MML estimators have higher efficiencies than the traditional least squares (LS) estimators and the proposed test has much better power and robustness properties than the normal theory test.eninfo:eu-repo/semantics/closedAccessAutoregressive ModelLinear ContrastsNonnormalityRobustnessModified LikelihoodGamma DistributionLinear contrasts in one-way classification AR(1) model with gamma innovationsLinear Contrasts in One-Way Classification Ar(1) Model With Gamma InnovationsArticle4561743175410.15672/HJMS.20164515996