Fitting an Unobserved Component Time Series Model.
Abstract
The paper deals with a comparison of two methods for estimating a parametric model of a linear, Gaussian time series, based upon two different approximations to the likelihood function of the process. Discussed is the estimation of the parameters of Nerlove's unobserved-component model as presented in 'Analysis of Economic Time Series by Box-Jenkins and Related Techniques', through use of two approximations to the likelihood function of a Gaussian time series.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1973
- Accession Number
- AD0760358
Entities
People
- P. Bloomfield
- T. Corwin
Organizations
- Princeton University