Accession Number:

ADA202273

Title:

Time Series Analysis and Multivariate Statistical Analysis

Descriptive Note:

Final rept. 23 Sep 1985-22 Sep 1988

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s):

Report Date:

1988-11-01

Pagination or Media Count:

6.0

Abstract:

Research was carried out mainly in the areas of time series analysis and multivariate statistical analysis. The most important results in the first area apply to autoregressive and moving average processes. In the second area emphasis was on parameter consistency and elliptically contoured distributions. To estimate the parameters of the moving average model 16 different iterative procedures have been devised. These involve alternative parametrizations, time and frequency domain representations, Newton-Raphson and scoring approaches, and use of likelihoods and concentrated likelihoods. Properties of the likelihood function, as well as the estimates, have been derived. Keywords Kalman filtering, Army research.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE