Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Comments on Functional Relations in the Parameters of Multivariate Autoregressive Process Observed with Noise

  • Jong Hyup Lee (Department of Statistics, Sungshin Wonmen's University, Seoul, 136-742, KOREA) ;
  • Dong Wan Shin (Department of Statistics, Ewha Womans Unicersity, Seoul, 120-750, KOREA)
  • Published : 1995.12.01
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Abstract

Vector autoregressive process disturbed by measurement error is a vector autoregressive process with nonlineat parametric restrictions on the parameter. A Newton-Raphson procedure for estimating the parameter which take advantage of the information contained in the restrictions is proposed.

Keywords

References

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