Asymptotically Efficient Estimates of the Parameters of a Moving Average Time Series.
Abstract
The thesis is concerned with the estimation of the parameters of a moving average time series, (x sub t, t= 0, plus or minus 1, plus or minus 2, ...), of order M. By definition, such a series has the representation x sub t = (eta sub t) + (b sub 1)(eta sub (t-1)) + (b sub 2)(eta sub (t-2)) +...+ (b sub M)(eta sub (+-M)) for some series of uncorrelated, identically distributed random variables eta sub t, t = 0, plus or minus 1, plus or minus 2, ...). It is assumed that the process has mean zero and is a Gaussian process; hence eta sub t has a normal distribution with mean and some unknown variance (sigma sub n) squared. The goal is to find asymptotically normal and efficient estimates of the parameters of the model. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 31, 1970
- Accession Number
- AD0715129
Entities
People
- M. Lawrence Clevenson
Organizations
- Stanford University