Back to Search
Start Over
THEORY AND APPLICATION OF AN ESTIMATION MODEL FOR TIME SERIES WITH NONSTATIONARY MEANS.
- Source :
- Management Science; May66, Vol. 12 Issue 9, p648-658, 11p
- Publication Year :
- 1966
-
Abstract
- Time series models of a complex nature, such as consumer brand switching analyses, have required assumptions of parameter stability because statistical models were not available to deal with parameter change. A model is developed here to estimate a stepwise change in the mean process of a Gaussian time series. Estimators which are small-sample efficient in a special sense are presented, along with examples and suggested applications of the method to brand switching problems. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00251909
- Volume :
- 12
- Issue :
- 9
- Database :
- Complementary Index
- Journal :
- Management Science
- Publication Type :
- Academic Journal
- Accession number :
- 7356391
- Full Text :
- https://doi.org/10.1287/mnsc.12.9.648