Accession Number : ADA132828
Title : On the Use of Marginal Likelihood in Time Series Model Estimation.
Descriptive Note : Technical summary rept.,
Corporate Author : WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER
Personal Author(s) : Tunnicliffe-Wilson,G
PDF Url : ADA132828
Report Date : Jul 1983
Pagination or Media Count : 42
Abstract : This paper is concerned with the estimation of regression models with errors which follow an Autoregressive Integrated Moving Average (ARIMA) process. The effect of the regression upon the ARIMA model parameter estimates is considered and marginal likelihood investigated as a means of overcoming some small sample bias. Examples illustrate the importance of this effect even in samples of moderate size. The consequences regarding inference for the regression coefficients are also discussed.
Descriptors : *Linear regression analysis, *Time series analysis, Errors, Correlation techniques, Mathematical models, Sunspots, Statistical inference, Coefficients, Estimates
Subject Categories : Astrophysics
Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE