Accession Number:
AD0757512
Title:
On the Dispersion Matrix of the Maximum Likelihood Estimators of the Parameters of a Dynamic Model.
Descriptive Note:
Technical rept.,
Corporate Author:
WISCONSIN UNIV MADISON DEPT OF STATISTICS
Personal Author(s):
Report Date:
1972-10-01
Pagination or Media Count:
31.0
Abstract:
The approximation of a Toeplitz matrix by a circulant matrix is used to derive the dispersion matrix of the parameters of a dynamic model when the error process is known and when one has an approximation of the value of the parameters. Author
Descriptors:
Subject Categories:
- Statistics and Probability