| Author | Fong, Lye Mui |
| Call Number | AIT Thesis no. CA-85-9 |
| Subject(s) | Regression analysis--Computer programs
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| Note | A thesis submitted in partial fulfillment of the requirements for the degree of Master of Science, School of Engineering and Technology |
| Publisher | Asian Institute of Technology |
| Abstract | Estimation of parameters in linear regression models with disturbances following AR (p) or MA(q) processes has been common. But estimation of models with ARMA(p, q) errors has only been considered theoretically. This thesis is concerned with the software development of a general linear regression model with correlated disturbances that follow an ARMA (p, q) process. This also includes estimation of models with AR or MA errors. The methodology was based on the paper of Harvey and Phillips (1979) , whereby the system design and program were developed accordingly. Applications to simulated data and actual data were used to test the efficiency and workability of the software developed. This thesis showed that the method of exact maximum likelihood, together with Kalman filter and recursive residuals, does in fact produce good estimators with relative errors < 20%, and is found a better estimation method than others. |
| Year | 1985 |
| Type | Thesis |
| School | School of Engineering and Technology (SET) |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Computer Application (CA) |
| Chairperson(s) | Huynh, Ngoc Phien |
| Examination Committee(s) | Clarke Harry R. ;Vilas Wuwongse |
| Scholarship Donor(s) | The Government of Germany |
| Degree | Thesis (M.Sc.) - Asian Institute of Technology, 1985 |