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Estimation on a GAR(1) Process by the EM Algorithm

Estimation on a GAR(1) Process by the EM Algorithm Abstract Because of the increasing number of interrelated processes continuous monitoring and controlling of processes get more and more important. Time series constitute one possibility of modelling processes in order to determine an appropriate monitoring policy. One major problem when deriving a time series consists of estimating the values of the relevant parameters. This paper deals with the estimation of the parameters of a first order autoregressive gamma process by means of the EM algorithm. The formulae of the EM sequence are derived, the convergence of the procedure is established and the results of a simulation study are presented. The EM algorithm proves to be an appropriate estimation procedure in the case of the complex statistical model represented by a GAR(1) process. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Economic Quality Control de Gruyter

Estimation on a GAR(1) Process by the EM Algorithm

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Publisher
de Gruyter
Copyright
Copyright © 2007 by the
ISSN
1869-6147
eISSN
1869-6147
DOI
10.1515/EQC.2007.165
Publisher site
See Article on Publisher Site

Abstract

Abstract Because of the increasing number of interrelated processes continuous monitoring and controlling of processes get more and more important. Time series constitute one possibility of modelling processes in order to determine an appropriate monitoring policy. One major problem when deriving a time series consists of estimating the values of the relevant parameters. This paper deals with the estimation of the parameters of a first order autoregressive gamma process by means of the EM algorithm. The formulae of the EM sequence are derived, the convergence of the procedure is established and the results of a simulation study are presented. The EM algorithm proves to be an appropriate estimation procedure in the case of the complex statistical model represented by a GAR(1) process.

Journal

Economic Quality Controlde Gruyter

Published: Oct 1, 2007

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