A DISCRIMINATION FUNCTION FOR THE AR (1) MODEL : A SIMULATION STUDY ON THE NORMAL AND ABNORMAL DISTRIBUTIONS

Abstract

We shall consider the case where a process {Zt} for an AR(1) belongs to one of two categories gave by two hypotheses p1 and p2 in this paper. These hypotheses specify that {Zt} has spectral density function f (w) and g(w) under p1 and p2 respectively. We can use I(f:g) as a discrimination function, if f(w) and g(w) are known. A numerical example will be given by using simulation for the normal and abnormal distribution cases in this study.

Keywords

• Otoregressif süreç, Ayırım fonksiyonu, İstatistiksel dağılımlar, Simulasyon