Accession Number : ADA116249

Title :   The Cholesky Decomposition Algorithm and ARMA Modeling.

Descriptive Note : Technical rept.,

Corporate Author : TEXAS A AND M UNIV COLLEGE STATION INST OF STATISTICS

Personal Author(s) : Newton,H Joseph ; Pagano,Marcello

PDF Url : ADA116249

Report Date : Apr 1981

Pagination or Media Count : 13

Abstract : The history of the use of the Cholesky decomposition in the estimation and prediction of autoregressive moving average time series is reviewed and a modification of Ansley's (1979) estimation method is suggested. This modification is motivated by the results of Newton and Pagano (1981) in prediction theory and results in a significant reduction in the calculations required to evaluate the exact likelihood. It is also shown how the modified method can be used to obtain predictors and prediction variances. (Author)

Descriptors :   *Algorithms, *Maximum likelihood estimation, *Time series analysis, Mathematical models, Decomposition, Regression analysis, Modification, Estimates, Predictions

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE