Accession Number : ADA186039
Title : A New Method of Estimation in a Moving Average Model of Order One.
Descriptive Note : Technical rept.,
Corporate Author : PITTSBURGH UNIV PA CENTER FOR MULTIVARIATE ANALYSIS
Personal Author(s) : Chapeh, H A ; Rao, M B
PDF Url : ADA186039
Report Date : Dec 1986
Pagination or Media Count : 18
Abstract : The exact likelihood of the data coming from a moving average model of order is complicated. In this paper, the authors propose a method of estimation of the parameters of a moving average model of order one based on the approximate likelihood of the data and on the simulation of a pair of random variables. Some comparisons were made of this method with some well known methods for moderate sample sizes. A computer program is appended which is helpful in using this methods. Keywords: Time series; Analysis; Computerized simulation; Multivariate analysis.
Descriptors : *ESTIMATES, *MATHEMATICAL MODELS, COMPUTER PROGRAMS, COMPUTERIZED SIMULATION, MULTIVARIATE ANALYSIS, RANDOM VARIABLES, TIME SERIES ANALYSIS
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE