
Accession Number : AD0248652
Title : EFFICIENT FITTING OF LINEAR MODELS FOR CONTINUOUS STATIONARY TIME SERIES FROM DISCRETE DATA
Corporate Author : NORTH CAROLINA UNIV AT CHAPEL HILL DEPT OF STATISTICS
Personal Author(s) : DURBIN, JAMES
Report Date : MAR 1960
Pagination or Media Count : 1
Abstract : Consideration is given to the problem of estimating the parameters of the rational spectral density function of a continuous process given n observations equispaced in time. The estimates are derived by assuming the observations to be normally distributed. However, it must not be thought that the properties of the estimates depend critically on this assumption. If the dis(over) tribution is nonnormal, the estimation process can be thought of as arising from a sort of generalized leastsquares method. The joint distribution of the equispaced observations is considered, and the relevant parameters of this distribution is estimated first. These are then converted to estimates of the parameters of the spectral density. The estimation of the parameters of the underlying stochastic differentialequation model is also considered. (Author)
Descriptors : DIFFERENTIAL EQUATIONS, SERIES(MATHEMATICS), STATISTICAL ANALYSIS, STATISTICAL DATA, STATISTICAL DISTRIBUTIONS, STATISTICAL PROCESSES.
Distribution Statement : APPROVED FOR PUBLIC RELEASE