Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149606 | Journal of Statistical Planning and Inference | 2009 | 17 Pages |
Abstract
When random variables do not take discrete values, observed data are often the rounded values of continuous random variables. Errors caused by rounding of data are often neglected by classical statistical theories. While some pioneers have identified and made suggestions to rectify the problem, few suitable approaches were proposed. In this paper, we propose an approximate MLE (AMLE) procedure to estimate the parameters and discuss the consistency and asymptotic normality of the estimates. For our illustration, we shall consider the estimates of the parameters in AR(p)AR(p) and MA(q)MA(q) models for rounded data.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Zhidong Bai, Shurong Zheng, Baoxue Zhang, Guorong Hu,