Date of Award:
Master of Science (MS)
Mathematics and Statistics
Department name when degree awarded
Ronald V. Canfield
Rex L. Hurst
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 it s 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.
Tseng, Lucy Chienhua, "Evaluation of Multivariate Homogenous Arma Model" (1980). All Graduate Theses and Dissertations. 6945.
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