BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS

DOI10.1111/j.1467-9892.1990.tb00056.xzbMath0711.62073OpenAlexW2049806222MaRDI QIDQ3497073

Alun Lloyd Pope

Publication date: 1990

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1990.tb00056.x

zbMATH Keywords

innovationsbiasleast-squares estimationmartingale difference sequencemodified Yule-Walker estimatorsmultivariate autoregression of arbitrary order

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions ⋮ The uniform validity of impulse response inference in autoregressions ⋮ Bootstrap-based bias corrections for INAR count time series ⋮ Bias in local projections ⋮ The second-order bias and mean squared error of estimators in time-series models ⋮ Confidence intervals for impulse responses under departures from normality ⋮ Convergence analysis of the RLS identification algorithm with exponential forgetting in stationary ARX-structures ⋮ Recent developments in bootstrapping time series ⋮ First inverse moment of a generalized quadratic form

Cites Work

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• Properties of Predictors for Autoregressive Time Series
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1

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