A fixed point characterization for bias of autoregressive estimators

DOI10.1214/AOS/1176347268MaRDI QIDQ1823595zbMATH OpenOpenAlexFDO

Authors Robert A. Stine, Paul Shaman

Publication date 1989

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176347268

zbMATH Keywords

autocorrelation functionbiasboot-strapping autoregressive modelscontractiondifferent orders of autoregressionDurbin-Levinson recursionfixed point modelsknown meanleast squares approximations to an infinite- order autoregressionLeast squares estimatorsspectral densitytime seriesunknown meanYule- Walker estimators

Mathematics Subject Classification ID

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

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• Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models
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• Bias of Autoregressive Spectral Estimators
• Improving the finite sample performance of tests for a shift in mean
• Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation

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