Asymptotic bias of the least squares estimator for multivariate autoregressive models

DOI10.1007/BF02481980zbMath0573.62028MaRDI QIDQ1062707

Taku Yamamoto, Naoto Kunitomo

Publication date: 1984

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

asymptotic biasleast squares estimatormultivariate autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING, On the bias of the least squares estimator for the first order autoregressive process, PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS, Bias in estimating multivariate and univariate diffusions, Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment

Cites Work

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• The exact moments of the least squares estimator for the autoregressive model
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• 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
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION