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

Authors : Birdal ŞENOĞLU, Özlem Türker BAYRAK

Pages : 1743-1754

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Publication Date : 2016-12-01

Article Type : Research Paper

Abstract :In this study, the explicit estimators of the model parameters in oneway classification ARinsert ignore into journalissuearticles values(1); model with gamma innovations are derived by using modified maximum likelihood insert ignore into journalissuearticles values(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 insert ignore into journalissuearticles values(LS); estimators and the proposed test has much better power and robustness properties than the normaltheory test.
Keywords : Autoregressive model, linear contrasts, nonnormality, robustness, modied likelihood, gamma distribution