
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 unobservedcomponent model as presented in 'Analysis of Economic Time Series by BoxJenkins 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