
Accession Number : AD0705830
Title : ESTIMATION OF THE MEAN OF A WIDESENSE STATIONARY AUTOREGRESSIVE SEQUENCE,
Corporate Author : RAND CORP SANTA MONICA CALIF
Personal Author(s) : Fishman,George S.
Report Date : APR 1970
Pagination or Media Count : 23
Abstract : The study concerns the relative efficiency of the leastsquares estimator of the mean of a covariance stationary sequence that has a constant mean and an autoregressive representation of order p. The results augment those of Chipman, et al. who studied this topic for the case p = 1. Relative efficiency is defined as the ratio of the variance of the best linear unbiased estimator (BLUE) of the mean and the variance of the leastsquares estimator (LSE) of the mean. Section 2 presents the problem definition and principal results. Graphical results for the firstorder scheme (p = 1) in Sec. 3 imply that the relative desirability of the LSE should be based on variance as well as relative efficiency considerations.
Descriptors : (*TIME SERIES ANALYSIS, *SEQUENCES(MATHEMATICS)), STOCHASTIC PROCESSES, LEAST SQUARES METHOD, DECISION THEORY, SAMPLING
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE