Accession Number:

ADA030654

Title:

Repeated Measurements on Autoregressive Processes

Descriptive Note:

Technical rept.

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s):

• Anderson, Theodore W.

Report Date:

1976-09-01

Pagination or Media Count:

45.0

Abstract:

Estimation of parameters and tests of hypotheses are studied in first-order autoregressive processes where the process is observed several times over a given time interval. The process may be homogeneous that is, the parameters may be constant over time or inhomogeneous time-varying parameters . Sufficient statistics under normality are obtained for various cases and several tests of hypotheses are given.

Descriptors:

• *STATISTICAL PROCESSES
• *REGRESSION ANALYSIS
• MATRICES(MATHEMATICS)
• PROBABILITY DENSITY FUNCTIONS
• STATISTICAL DISTRIBUTIONS
• RANDOM VARIABLES
• STOCHASTIC PROCESSES
• TIME SERIES ANALYSIS

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE