Accession Number : ADA018171

Title :   Comparison of Estimation Procedures for First Order Moving Average Multiple Time Series.

Descriptive Note : Technical rept.,

Corporate Author : STATE UNIV OF NEW YORK AT BUFFALO AMHERST STATISTICAL SCIENCE DIV

Personal Author(s) : Hamer,Berbardo Cass , III

Report Date : AUG 1975

Pagination or Media Count : 151

Abstract : This dissertation provides an empirical examination of four estimation procedures associated with the estimation of the matrix parameters for a vector moving average process. An important role in this examination is the development of the relationships between the parametric representation for both the vector autoregressive and moving average schemes. This leads to the examination, comparison and utilization of autoregressive order determination and fitting criteria. Spectral plotting and non-linear numerical techniques are also employed. A comparison of the estimation procedures is provided based upon both theoretical and practical criterion.

Descriptors :   *Time series analysis, Estimates, Fourier transformation, Multivariate analysis, Sampling, Spectrum analysis, Computer programs, Computations, Theses

Subject Categories : Statistics and Probability
      Computer Programming and Software

Distribution Statement : APPROVED FOR PUBLIC RELEASE