Fitting an Unobserved Component Time Series Model.
PRINCETON UNIV N J DEPT OF STATISTICS
Pagination or Media Count:
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.
- Theoretical Mathematics
- Operations Research