Accession Number:

AD0705830

Title:

ESTIMATION OF THE MEAN OF A WIDE-SENSE STATIONARY AUTOREGRESSIVE SEQUENCE,

Descriptive Note:

Corporate Author:

RAND CORP SANTA MONICA CALIF

Personal Author(s):

Report Date:

1970-04-01

Pagination or Media Count:

23.0

Abstract:

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE