تقدير أنموذج (AR (3 باستعمال طريقة Levinson-Durbin التكرارية و طريقة المربعات الصغرى و الموزونة

Abstract EN

this study, we investigate about the estimation improvement for Autoregressive model of the third order, by using Levinson-Durbin Recurrence (LDR) and Weighted Least Squares Error ( WLSE ).By generating time series from 3)س) model when the error term for 3)س) is normally and Non normally distributed and when the error term has ARCH(q) model with order q=l,2.We used different samples sizes and the results are obtained by using simulation.

In general, we concluded that the estimation improvement for Autoregressive model for both estimation methods (LDR&WLSE), would be by increasing sample size, for all distributions which are considered for the error term , except the lognormal distribution.

Also we see that the estimation improvement for WSLE method, depends on the value for the Forgetting Factor parameter ( a ),which haave value less than one(i.e.

(a < 1) ).

The estimate is improved for large value for parameter a exactly at a = 0.99 .Finally, we used the estimation methods (LDR&WLSE) for real data