JSTOR Daily

Efficient Estimation of a Regression Parameter for Certain Second Order Processes

The Annals of Mathematical Statistics, Vol. 32, No. 4 (Dec., 1961), pp. 1299-1313 (15 pages) The problem of estimation of a single regression parameter for a process with fixed known regression ...
JSTOR Daily

Estimating Time-Varying Parameters in Linear Regression Models Using A Two-Part Decomposition of the Optimal Control Formulation

Sankhyā: The Indian Journal of Statistics, Series B (1960-2002), Vol. 62, No. 3 (Dec., 2000), pp. 433-447 (15 pages) This paper discusses an econometric technique based on optimal control theory which ...
Simon Fraser University

Example 8.13: Parameter Estimation for a Regression Model with ARMA Errors

Nonlinear estimation algorithms are required for obtaining estimates of the parameters of a regression model with innovations having an ARMA structure. The three estimation methods employed by the ...
Simon Fraser University

Parameter Estimation

Maximum likelihood estimation of the parameters of a statistical model involves maximizing the likelihood or, equivalently, the log likelihood with respect to the parameters. The parameter values at ...