A New Method of Estimation in a Moving Average Model of Order One.

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.

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Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1986
Accession Number
ADA186039

Entities

People

  • H. A. Chapeh
  • M. B. Rao

Organizations

  • University of Pittsburgh

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Computational Science
  • Computer Programs
  • Computers
  • Data Science
  • Estimators
  • Governments
  • Information Science
  • Maximum Likelihood Estimation
  • Multivariate Analysis
  • Normal Distribution
  • Procedures (Computers)
  • Random Variables
  • Scientific Research
  • Simulations
  • Statistical Algorithms
  • United States Government

Fields of Study

  • Mathematics

Readers

  • Computer Science.
  • Statistical inference.