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Maximum Likelihood Estimation of the VAR(1) Model Parameters with Missing Observations
Joint Authors
Mouriño, Helena
Barão, Maria Isabel
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-22
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
Missing-data problems are extremely common in practice.
To achieve reliable inferential results, we need to take into account this feature of the data.
Suppose that the univariate data set under analysis has missing observations.
This paper examines the impact of selecting an auxiliary complete data set—whose underlying stochastic process is to some extent interdependent with the former—to improve the efficiency of the estimators for the relevant parameters of the model.
The Vector AutoRegressive (VAR) Model has revealed to be an extremely useful tool in capturing the dynamics of bivariate time series.
We propose maximum likelihood estimators for the parameters of the VAR(1) Model based on monotone missing data pattern.
Estimators’ precision is also derived.
Afterwards, we compare the bivariate modelling scheme with its univariate counterpart.
More precisely, the univariate data set with missing observations will be modelled by an AutoRegressive Moving Average (ARMA(2,1)) Model.
We will also analyse the behaviour of the AutoRegressive Model of order one, AR(1), due to its practical importance.
We focus on the mean value of the main stochastic process.
By simulation studies, we conclude that the estimator based on the VAR(1) Model is preferable to those derived from the univariate context.
American Psychological Association (APA)
Mouriño, Helena& Barão, Maria Isabel. 2013. Maximum Likelihood Estimation of the VAR(1) Model Parameters with Missing Observations. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-13.
https://search.emarefa.net/detail/BIM-1010940
Modern Language Association (MLA)
Mouriño, Helena& Barão, Maria Isabel. Maximum Likelihood Estimation of the VAR(1) Model Parameters with Missing Observations. Mathematical Problems in Engineering No. 2013 (2013), pp.1-13.
https://search.emarefa.net/detail/BIM-1010940
American Medical Association (AMA)
Mouriño, Helena& Barão, Maria Isabel. Maximum Likelihood Estimation of the VAR(1) Model Parameters with Missing Observations. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-13.
https://search.emarefa.net/detail/BIM-1010940
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1010940