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Title: Analysis of rounded data from dependent sequences
Authors: Zhang, B.
Liu, T.
Bai, Z.D. 
Keywords: ARMA(p, q) model
BRB corrections
Rounded data
Sheppard corrections
SOS estimation
Issue Date: Dec-2010
Citation: Zhang, B., Liu, T., Bai, Z.D. (2010-12). Analysis of rounded data from dependent sequences. Annals of the Institute of Statistical Mathematics 62 (6) : 1143-1173. ScholarBank@NUS Repository.
Abstract: Observations on continuous populations are often rounded when recorded due to the precision of the recording mechanism. However, classical statistical approaches have ignored the effect caused by the rounding errors. When the observations are independent and identically distributed, the exact maximum likelihood estimation (MLE) can be employed. However, if rounded data are from a dependent structure, the MLE of the parameters is difficult to calculate since the integral involved in the likelihood equation is intractable. This paper presents and examines a new approach to the parameter estimation, named as "short, overlapping series" (SOS), to deal with the α-mixing models in presence of rounding errors. We will establish the asymptotic properties of the SOS estimators when the innovations are normally distributed. Comparisons of this new approach with other existing techniques in the literature are also made by simulation with samples of moderate sizes. © 2009 The Institute of Statistical Mathematics, Tokyo.
Source Title: Annals of the Institute of Statistical Mathematics
ISSN: 00203157
DOI: 10.1007/s10463-009-0224-6
Appears in Collections:Staff Publications

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