Accession Number : AD0760358

Title :   Fitting an Unobserved Component Time Series Model.

Descriptive Note : Technical rept.,

Corporate Author : PRINCETON UNIV N J DEPT OF STATISTICS

Personal Author(s) : Bloomfield,P. ; Corwin,T.

Report Date : JAN 1973

Pagination or Media Count : 39

Abstract : The paper deals with a comparison of two methods for estimating a parametric model of a linear, Gaussian time series, based upon two different approximations to the likelihood function of the process. Discussed is the estimation of the parameters of Nerlove's unobserved-component model as presented in 'Analysis of Economic Time Series by Box-Jenkins and Related Techniques', through use of two approximations to the likelihood function of a Gaussian time series.

Descriptors :   (*TIME SERIES ANALYSIS, MATHEMATICAL PREDICTION), APPROXIMATION(MATHEMATICS), CONVEX SETS, MATHEMATICAL MODELS, MILK, MEAT, COSTS, ALGORITHMS, COMPUTER PROGRAMS, ECONOMICS

Subject Categories : Theoretical Mathematics
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE