Repeated Measurements on Autoregressive Processes

Abstract

Estimation of parameters and tests of hypotheses are studied in first-order autoregressive processes where the process is observed several times over a given time interval. The process may be homogeneous (that is, the parameters may be constant over time) or inhomogeneous (time-varying parameters) . Sufficient statistics under normality are obtained for various cases and several tests of hypotheses are given.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1976
Accession Number
ADA030654

Entities

People

  • Theodore W. Anderson

Organizations

  • Stanford University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Confidence Limits
  • Covariance
  • Data Science
  • Information Science
  • Markov Chains
  • Mathematical Filters
  • Measurement
  • Normal Distribution
  • Probability
  • Random Variables
  • Statistical Algorithms
  • Statistical Analysis
  • Statistical Inference
  • Statistics
  • Stochastic Processes
  • Surveys
  • Time Series Analysis

Fields of Study

  • Mathematics

Readers

  • Statistical inference.