Date of Award:
5-1980
Document Type:
Thesis
Degree Name:
Master of Science (MS)
Department:
Mathematics and Statistics
Department name when degree awarded
Applied Statistics
Committee Chair(s)
Ronald V. Canfield
Committee
Ronald V. Canfield
Committee
Rex L. Hurst
Abstract
The purpose of this thesis is to study a restricted multivariate AFRMA model, called the Homogeneous Model. This model is defined as one in which each univariate component of the multivariate model is of the same order in p and q as it is in the multivariate model.
From a mathematical respect, multivariate ARMA model is homogeneous if, and only if, its coefficient matrices are diagonal. From a physical respect, the present observation of a phenomenon can be modeled only by its own past observation and its present and past "errors."
The estimation procedures are developed based on maximum likelihood method and on O'Connell' s method for univariate model.
The homogeneous model is evaluated by four types of data. Those data are generated reflecting different degrees of nonhomogeneity. It is found that the homogeneous model is sensitive to departures from the homogeneous assumptions. Small departures cause no serious problem, however, large departures are serious.
Checksum
6d472147f0a18d93ef86cdd59c16453f
Recommended Citation
Tseng, Lucy Chienhua, "Evaluation of Multivariate Homogenous Arma Model" (1980). All Graduate Theses and Dissertations, Spring 1920 to Summer 2023. 6945.
https://digitalcommons.usu.edu/etd/6945
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