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Certain Aspects of Generalized Box-Jenkins Models / Richard W. Hill.
- Format:
- Book
- Author/Creator:
- Hill, Richard W.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w0082.
- NBER working paper series no. w0082
- Language:
- English
- Subjects (All):
- Prediction theory.
- Statistical decision.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1975.
- Cambridge, Massachusetts : National Bureau of Economic Research, 1975.
- Summary:
- We define a class of models that are generalizations of regression models and moving average-autoregressive time series models. Then we investigate the asymptotic and computational properties of the maximum likelihood estimator, with numerical examples. The main conclusion is that care must be exercised when using simple approximations to the covariance matrix of the estimates.
- Notes:
- Print version record
- May 1975.
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