Predictive inference for linear and multivariate linear models with ma(1) error processes |
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Authors: | M Safiul Haq B M Golam Kibria |
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Institution: | 1. Department of Statistical &2. Actuarial Sciences , The University of Western Ontario , London, N6A 5B7, Canada E-mail: gkibria@fisher.stats.uwo.ca |
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Abstract: | The prediction distributions of future responses from the linear and multivariate linear models with errors having a first order moving average (MA(1)) process have been derived. First, we obtained the marginal likelihood function for the moving average parameter 6 and from this likelihood function we estimate the maximum likelihood estimates (MLE) of θ. Using the estimated value θ, we have derived the prediction distributions as well as prediction regions for the future responses. An example has been included. |
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Keywords: | multivariate t-distribution first order moving average process marginal likelihood function prediction distribution prediction regions |
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