Accession Number : ADA132828

Title :   On the Use of Marginal Likelihood in Time Series Model Estimation.

Descriptive Note : Technical summary rept.,


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