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Details for article 10 of 15 found articles
| Title: |
Practical estimation from the sum of ar(1) processes |
| Author: |
Ku, S. Seneta, E. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 27 (1998) nr. 4 pages 981-998 |
| Year: |
1998 |
| Contents: |
In theory it is possible to estimate the positive autoregressive coefficients m1:, m2: of component AR(1) processes from observations on the sum process, a result for which there are several applications. We focus on the special ARMA(2,1) process which arises as the sum process, show that its coefficients are underidentifled, and discuss the effect in practical estimation of m1:, m2:. The motivating problem: the sum of simple subcritical branching processes with immigration, is considered as a numerical example. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 10 of 15 found articles
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