Autoregressive models: statistical inference and applications

Türker, Özlem
The autoregressive model Yt - + Ym = ji + 8 (5Q - * X,,,) + e» (l<t<n) has many applications in agricultural, biological and biomedical sciences besides business and economics. Since the model is non-linear due to the parameter 5(|), it has not been easy to estimate the unknown parameters \x, 5, (j) and a, a2 being the variance of the iid innovations st. Most of the literature on this topic has hinged on the assumption of iiinormality. However, there is now a realization that non-normal distributions occur so frequently in practice. By the use of the modified likelihood methodology, the model has been opened up to non-normal innovations. The aim of this study is to extend the methodology under non-normality to various independent sources of information and to develop robust and efficient statistics for testing whether the parameter vector remains the same from one source to another.


Analysis of economic data using robust methods
Coşar, Evren Erdogan; Akkaya, Ayşen; Department of Statistics (2002)
Export plays an important role in the economic development of a country. Because of its importance in implementing trade policies, there is an extensive literature on the estimation of export functions. Most of the studies on estimating export functions utilized conventional econometric techniques with the normality assumption of innovations. However, it has been recently recognized that non-normal distributions for innovations are more common in practice. IllThe main aim of this study is to estimate the ex...
Stochastic modelling of biochemical networks and inference of model parameters
Purutçuoğlu Gazi, Vilda (Springer International Publishing, 2018-04-01)
The research and review papers presented in this volume provide an overview of the main issues, findings, and open questions in cutting-edge research on the fields of modeling, optimization and dynamics and their applications to biology, economics, energy, finance, industry, physics and psychology. Given the scientific relevance of the innovative applications and emerging issues they address, the contributions to this volume, written by some of the world’s leading experts in mathematics, economics and oth...
Experimental design in the presence of covariates
Avcıoğlu, M Didem; Tiku, Moti Lal; Şenoğlu, Birdal; Department of Statistics (2003)
Experimental design methods have broad coverage of application areas. Usually, basic goal in experimental design methods is to compare the effect of controllable experimental factors on the response and locate the interest on the one, which is most effective. However, in many experimental situations, responses are not only affected by the controllable experimental factors, but also by uncontrollable variates, usually named as covariates. Main aim in these models is to relate the response to both the control...
A Review on Data Mining and Continuous Optimization Applications in Computational Biology and Medicine
Weber, Gerhard Wilhelm; Ozogur-Akyuz, Sureyya; Kropat, Erik (2009-06-01)
An emerging research area in computational biology and biotechnology is devoted to mathematical modeling and prediction of gene-expression patterns; it nowadays requests mathematics to deeply understand its foundations. This article surveys data mining and machine learning methods for an analysis of complex systems in computational biology, It mathematically deepens recent advances in modeling and prediction by rigorously introducing the environment and aspects of errors and uncertainty into the genetic con...
Stochastic Hybrid Systems of Financial and Economical Processess: Identificatied, Optimized and Controlled
Weber, Gerhard Wilhelm; Yolcu Okur, Yeliz; Yerlikaya Özkurt, Fatma; Kuter, Semih; Özmen, Ayşe; Karimov, Azar(2013-12-31)
This research project will scientifically broaden, deepen and apply a scientific unified approach of both identification and optimal control of Stochastic Differential Equations with Jumps (SHSJs), motivated by and foreseen for purposes of financial mathematics and actuarial sciences. SHSJs and further structured and detailed models are in the scope of our framework, and special interests pursued consisted in a. refinement of Parameter Estimation for SDEs and b. Portfolio Optimization and, as a future exten...
Citation Formats
Ö. Türker, “Autoregressive models: statistical inference and applications,” Ph.D. - Doctoral Program, Middle East Technical University, 2002.