Maximum Likelihood Estimation for an Autoregressive Process with Missing Observations,

Tan, Suan-boon

Maximum Likelihood Estimation for an Autoregressive Process with Missing Observations,

Active / Technical Report | Accession Number: ADA081251 |

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Abstract:

Three methods are proposed for estimation of the parameters of an autogressive process of order p with missing observations. These methods are based on the maximum likelihood approach and use the EM algorithm, the Newton-Raphson method and the method of scoring, which are applied to the likelihood equations. Finally, comparison on those methods is also discussed. Author

Author(s):

Tan, Suan-boon

Author Organization(s):

PITTSBURGH UNIV PA DEPT OF MATHEMATICS AND STATISTICS

Pagination:

0013

Security Markings

DOCUMENT & CONTEXTUAL SUMMARY

Distribution:

Approved For Public Release

RECORD

Collection: TR

Identifying Numbers

Contract/Grant Number(s):

N00014-76-C-0839

Subject Terms

Communities of Interest:

Materials and Manufacturing Processes

Descriptor(s):

*REGRESSION ANALYSIS, DATA PROCESSING, MULTIVARIATE ANALYSIS, RANDOM VARIABLES, MATRICES(MATHEMATICS), STATISTICAL INFERENCE, TIME SERIES ANALYSIS, SCORING

Field(s)/Group(s):

Statistics and Probability

Keyword(s):

*Maximum likelihood estimation, Newton Raphson method

Report Date:

1979 Aug 01