Behaviour of the parameter of non-guassian seasonal autogressive model from first order sar

الملخص EN

This research aims at following the behaviour of Parameter of Non–Gaussion Seasonal Autoregressive Model from first order by simulation.

This is done by supposing that model random errors follow Non – Gaussion continuous distribution and by using two comparison tools mean square error MSE (?) and mean absolute percentage MAPE (?) for the difference cases (seasonal period, sample size, parameter initial values and the sign of parameter initial values).

The main conclusions are (i) MAPE ( ? ) and MSE ( ? ) values increase when seasonal period is increase, sample size with negative initial value of the parameter and the parameter initial values are approaching zero, and ( ii ) MAPE and MSE values of parameter ? Decrease when season period is decreased (Regardless of the parameter is positive or negative), parameter initial value is ± 1 and sample size is increase with positive initial value of the parameter?