Date of Award
3-2001
Document Type
Thesis
Degree Name
Master of Science
Department
Department of Operational Sciences
First Advisor
Mark A. Gallagher, PhD
Abstract
Minimum distance estimate is a statistical parameter estimate technique that selects model parameters that minimize a good-of-fit statistic. Minimum distance estimation has been demonstrated better standard approaches, including maximum likelihood estimators and least squares, in estimating statistical distribution parameters with very small data sets. This research applies minimum distance estimation to the task of making time series predictions with very few historical observations. In a Monte Carlo analysis, we test a variety of distance measures and report the results based on many different criteria. Our analysis tests the robustness of the approach by testing its ability to make predictions when the fitted time-series model does not match the data generation model. Our analysis indicates benefits in applying minimum distance estimation when making time series prediction based on less than 30 observations.
AFIT Designator
AFIT-GOR-ENS-01M-17
DTIC Accession Number
ADA390978
Recommended Citation
Tekin, Hakan, "Minimum Distance Estimation for Time Series Analysis with Little Data" (2001). Theses and Dissertations. 4707.
https://scholar.afit.edu/etd/4707