Comments on Functional Relations in the Parameters of Multivariate Autoregressive Process Observed with Noise

  • Jong Hyup Lee (Department of Statistics, Sungshin Wonmen's University, Seoul, 136-742, KOREA) ;
  • Dong Wan Shin (Department of Statistics, Ewha Womans Unicersity, Seoul, 120-750, KOREA)
  • 발행 : 1995.12.01

초록

Vector autoregressive process disturbed by measurement error is a vector autoregressive process with nonlineat parametric restrictions on the parameter. A Newton-Raphson procedure for estimating the parameter which take advantage of the information contained in the restrictions is proposed.

키워드

참고문헌

  1. Annals of Mathematical Statistics v.21 On asymptotic distributions of estimates of parameters of stochastic difference equations Anderson,T.W.
  2. Time series analysis: Forecasting and Control Box,G.E.P.;Jenkins,G.M.
  3. Advances on Applied Probability v.8 Vector linear time series models Dunsmuir,W.;Hannan,E.J.
  4. Measurement error models Fuller,W.A.
  5. Annals of Statistics v.12 Spectral factorization of nonstationary moving average process Hallin,M.
  6. Biometrika v.69 Recursive estimation of mixed autoregressive-moving average order Hannan,E.J.;Rissanen,J.
  7. Journal of Time Series Analysis v.10 Fast linear estimation mothods for vector autoregressive moving-average models Koreisha,S.;Pukkila,T.
  8. Annals of Statistics v.2 Estimation of models of autoregressive signal plus white noise Pagano,M.
  9. Journal of Time Series Analysis v.13 Maximum likelihood estimators in the multivariate autoregressive moving-average model from a generalized least squares view point Reinsel,G.C.;Basu,S.;Yap,S.F.
  10. International Journal of Control v.30 Recursive parameter estimation of an autoregressive process disturbed by white noise Sakai,H,;Arase,M.
  11. Journal of Time Series Analysis v.14 Maximum likelihood estimation for autoregressive process disturbed by moving average Shin,D.W.
  12. Journal of Time Series Analysis v.16 Estimation of the multivariate autoregressive moving average having parameter restrictions and an application to rotational sampling Shin,D.W.;Sarkar,S.
  13. Journal of American Statistical Association v.78 A fast estimation method for the vector autoregressive moving average model with exogenous variables Spliid,H.