Some results in autoregressive modeling /

Bibliographic Details
Main Author:	Ensor, Katherine Bennett, 1959-
Other Authors:	Feldman, Ricahrd M. (degree committee member), Hart, Jeffrey D. (degree committee member), Longnecker, Michael T. (degree committee member)
Format:	Thesis Book
Language:	English
Published:	1986.
Subjects:	Autoregression (Statistics) Time-series analysis. Major statistics. Academic theses
Online Access:	Link to ProQuest copy Link to OAKTrust copy ProQuest, Abstract

Description
Abstract:	Least squares estimates are not as widely used as Yule-Walker estimates when modeling autoregressive processes mainly because there is a well-known algorithm, Levinson's Algorithm, which may be used to obtain the Yule-Walker estimates for orders 1, . . .,M recursively but there is not a well-known recursive algorithm for the least squares estimates. A recursive algorithm is presented to obtain the least squares estimates for orders 1,...,M. In addition to the recursive algorithm, the effect of estimating the order of the process on the estimation of the peak frequencies is examined. Both consistent and inconsistent order determining criteria are considered, where the inconsistent methods asymptotically overestimate the true order of the process.
Item Description:	"Major subject: Statistics." Typescript (photocopy). Vita.
Physical Description:	v, 93 leaves ; 29 cm
Bibliography:	Includes bibliographical references (leaves 85-86).