An improved estimation method for univariate autoregressive models

DOI10.1016/0047-259X(88)90139-XMaRDI QIDQ1112521zbMATH OpenOpenAlexFDO

Authors Tarmo M. Pukkila

Publication date 1988

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(88)90139-x

zbMATH Keywords

autocorrelation estimatesAutoregressive modelsBurg estimatespartial autocorrelationYule-Walker equations

Mathematics Subject Classification ID

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

Review text

Autoregressive models are important in describing the behaviour of the observed time series. One of the reasons is that a covariance stationary process can be approximated by an autoregressive model. Thus, e.g., the spectrum of a covariance stationary time series can be approximated by the spectrum of an autoregressive process. The estimation of the autoregressive parameters is therefore of special importance in time series analysis. Several methods have been introduced to estimate autoregressive models. The most popular method has been the Yule-Walker method. The Yule-Walker estimates for the autoregressive parameters are known to have poor statistical properties in certain cases. On the other hand, the Burg estimates have better statistical properties. For example the Burg estimates are less biased than the Yule-Walker estimates. In this paper an alternative to the Burg estimates will be introduced. In the proposed method the true correlation matrix of the lagged variables is calculated for the lags 1,2,.... From each correlation matrix the corresponding partial autocorrelation can be calculated. These, on the other hand, will lead to autocorrelation estimates with improved statistical properties. From the autocorrelation estimates the autoregressive parameters can be estimated by solving the Yule-Walker equations. The statistical properties of the new estimates are studied by simulations.

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Cites work

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Cited in

(6)

• Toward a unified interval estimation of autoregressions
• Efficient computation of autoregressive estimates through a sufficient statistic
• scientific article; zbMATH DE number 4143298 (Why is no real title available?)
• THE IDENTIFICATION OF SEASONAL AUTOREGRESSIVE MODELS
• Robust Burg estimation of stationary autoregressive mixtures covariance
• On the criterion function for ARMA estimation

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