ESTIMATION OF THE MEAN OF A WIDE-SENSE STATIONARY AUTOREGRESSIVE SEQUENCE,
RAND CORP SANTA MONICA CALIF
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The study concerns the relative efficiency of the least-squares estimator of the mean of a covariance stationary sequence that has a constant mean and an autoregressive representation of order p. The results augment those of Chipman, et al. who studied this topic for the case p 1. Relative efficiency is defined as the ratio of the variance of the best linear unbiased estimator BLUE of the mean and the variance of the least-squares estimator LSE of the mean. Section 2 presents the problem definition and principal results. Graphical results for the first-order scheme p 1 in Sec. 3 imply that the relative desirability of the LSE should be based on variance as well as relative efficiency considerations.
- Statistics and Probability