Abstract:
In the report is suggested some estimates of
autoregression parameters that are different in comparison of the
least squares estimates (LSE). LSE in the unstable (critical)
cases, i.e. when the characteristic equation roots are lain on the
unit circle, have, as a rule, compound limit distributions.
Suggested by us nonstandard estimates in majority cases have more
simple limit distributions.
Keywords:the first order simple
autoregression, one-dimensional simultaneous autoregression,
spatial autoregression of the first order, simple autoregression
of the second order, parameter estimates, nonstandard approach,
limit distributions.