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

partial autocorrelationYule-Walker equationsautocorrelation estimatesAutoregressive modelsBurg estimates

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3829095 (Why is no real title available?)
• scientific article; zbMATH DE number 4056762 (Why is no real title available?)
• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• A Study of Autoregressive and Window Spectral Estimation
• Bias of some commonly-used time series estimates
• Loss of spectral peaks in autoregressive spectral estimation

Cited in

(6)

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

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