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Mean Square Error in ML Estimation of Two-Level Time Series Models

by Olasunkanmi Isiaka Azeez, Kunle Bayo Adewoye
Communications on Applied Electronics
Foundation of Computer Science (FCS), NY, USA
Volume 7 - Number 38
Year of Publication: 2022
Authors: Olasunkanmi Isiaka Azeez, Kunle Bayo Adewoye

Olasunkanmi Isiaka Azeez, Kunle Bayo Adewoye . Mean Square Error in ML Estimation of Two-Level Time Series Models. Communications on Applied Electronics. 7, 38 ( Feb 2022), 1-10. DOI=10.5120/cae2022652890

@article{ 10.5120/cae2022652890,
author = { Olasunkanmi Isiaka Azeez, Kunle Bayo Adewoye },
title = { Mean Square Error in ML Estimation of Two-Level Time Series Models },
journal = { Communications on Applied Electronics },
issue_date = { Feb 2022 },
volume = { 7 },
number = { 38 },
month = { Feb },
year = { 2022 },
issn = { 2394-4714 },
pages = { 1-10 },
numpages = {9},
url = { },
doi = { 10.5120/cae2022652890 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
%0 Journal Article
%1 2023-09-04T20:02:59.964903+05:30
%A Olasunkanmi Isiaka Azeez
%A Kunle Bayo Adewoye
%T Mean Square Error in ML Estimation of Two-Level Time Series Models
%J Communications on Applied Electronics
%@ 2394-4714
%V 7
%N 38
%P 1-10
%D 2022
%I Foundation of Computer Science (FCS), NY, USA

Two-level time series models are commonly used to analyze longitudinal and correlated data with the standard and parametric assumption that the within-individual (level-1) residuals are uncorrelated rarely checked. There is marked disagreement in the literature as to whether such parametric assumption is important or innocuous. Monte Carlo methods were used to examine the conditions in which the level-1 independence of observations assumption on the parameter estimates of fixed effects was violated and the associated errors due to mean square were investigated. Conditions also varied the series lengths, the numbers of participants per study, and the strength of the autocorrelation coefficient. The simulation results, under the finite sampling properties of Mean Squared Error (MSE), Shown that in finite data, the maximum likelihood estimates may be substantially biased and possess mean square errors substantially higher than Cramer-Rao bounds.

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Index Terms

Computer Science
Information Sciences


Longitudinal Autocorrelation & Monte Carlo