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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Prais–Winsten estimation ： ウィキペディア英語版 Prais–Winsten estimation In econometrics, Prais–Winsten estimation is a procedure meant to take care of the serial correlation of type AR(1) in a linear model. Conceived by Sigbert Prais and Christopher Winsten in 1954, it is a modification of Cochrane–Orcutt estimation in the sense that it does not lose the first observation and leads to more efficiency as a result. ==Theory== Consider the model :$y\_t\; =\; \backslash alpha\; +\; X\_t\; \backslash beta+\backslash varepsilon\_t,\backslash ,$ where $y\_$ is the time series of interest at time ''t'', $\backslash beta$ is a vector of coefficients, $X\_$ is a matrix of explanatory variables, and $\backslash varepsilon\_t$ is the error term. The error term can be serially correlated over time: and $e\_t$ is a white noise. In addition to the Cochrane–Orcutt procedure transformation, which is :$y\_t\; -\; \backslash rho\; y\_\; =\; \backslash alpha(1-\backslash rho)+\backslash beta(X\_t\; -\; \backslash rho\; X\_)\; +\; e\_t.\; \backslash ,$ for t=2,3,...,T, Prais-Winsten procedure makes a reasonable transformation for t=1 in the following form :$\backslash sqrty\_1\; =\; \backslash alpha\backslash sqrt+\backslash left(\backslash sqrtX\_1\backslash right)\backslash beta\; +\; \backslash sqrt\backslash varepsilon\_1.\; \backslash ,$ Then the usual least squares estimation is done. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Prais–Winsten estimation」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.