Accession Number:

AD0760358

Title:

Fitting an Unobserved Component Time Series Model.

Descriptive Note:

Technical rept.,

Corporate Author:

PRINCETON UNIV N J DEPT OF STATISTICS

Personal Author(s):

Report Date:

1973-01-01

Pagination or Media Count:

39.0

Abstract:

The paper deals with a comparison of two methods for estimating a parametric model of a linear, Gaussian time series, based upon two different approximations to the likelihood function of the process. Discussed is the estimation of the parameters of Nerloves unobserved-component model as presented in Analysis of Economic Time Series by Box-Jenkins and Related Techniques, through use of two approximations to the likelihood function of a Gaussian time series.

Subject Categories:

  • Theoretical Mathematics
  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE