Estimation in Autoregressive Process with Non-negative Innovations

양(陽)의 오차(誤差)를 가지는 백기회귀모형(白己回歸模型)에서의 추정(推定)

In this paper, we obtain the natural estimators of the coefficient parameters and propose strongly consistent estimators of the parameter in the autoregressive model of order three with non-negative innovations. It is shown that the natural estimators are also strongly consistent for the parameters. We also compare the proposed estimators with the natural estimators and the least square estimators via Monte Carlo simulation studies.