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Mei-Hui Guo

2011-05-06
12:45:00 - 14:45:00

405 , Mathematics Research Center Building (ori. New Math. Bldg.)

Most recorded data are rounded to the nearest decimal place due to the precision of the recording mechanism. This rounding entails errors in estimation and measurement. In this paper, we compare the performances of three types of estimators based on rounded data from time series models, namely A-K corrected estimator, approximate MLE and the SOS estimator. In order to perform the comparison, the A-K corrected estimators for the MA(1) model are derived theoretically. To improve the efficiency of the estimation, two types of variance-reduction estimators based on linear combinations of aforementioned three estimators are proposed. Simulation results show the proposed variance reduction estimators significantly improve the estimation efficiency.