A study on the parameter estimation based on rounded data

• Main Authors: Gen-liang Li, 李根良
• Other Authors: Mei-Hui Guo
• Format: Others
• Language: en_US
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/17832506786773222461

碩士 === 國立中山大學 === 應用數學系研究所 === 99 === 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.