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