Title page for etd-0121111-111251


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URN etd-0121111-111251
Author Gen-liang Li
Author's Email Address No Public.
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Department Applied Mathematics
Year 2010
Semester 1
Degree Master
Type of Document
Language English
Title A study on the parameter estimation based on rounded data
Date of Defense 2011-01-07
Page Count 61
Keyword
  • A-K corrected estimator
  • Approximate MLE
  • ARMA(p,q) model
  • Rounded data
  • SOS estimator
  • Variance reduction
  • Abstract Most recorded data are rounded to the nearest decimal place due to the precision of the recording mechanism. This rounding entails errors in estimation and measurement. In this paper, we compare the performances of three types of estimators based on rounded data from time series models, namely A-K corrected estimator, approximate MLE and the SOS estimator. In order to perform the comparison, the A-K corrected estimators for the MA(1) model are derived theoretically. To improve the efficiency of the estimation, two types of variance-reduction estimators are further proposed, which are based on linear combinations of aforementioned three estimators. Simulation results show the proposed variance reduction estimators significantly improve the estimation efficiency.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • May-Ru Chen - co-chair
  • Shih-Feng Huang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0121111-111251.pdf
  • indicate in-campus access in a year and off_campus not accessible
    Date of Submission 2011-01-21

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