Repeated Measurements on Autoregressive Processes
STANFORD UNIV CA DEPT OF STATISTICS
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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.
- Statistics and Probability