Finite-sample properties of estimators for first and second order autoregressive processes

DOI10.1007/S11203-021-09262-4MaRDI QIDQ2676880zbMATH OpenOpenAlexFDO

Authors Sigrunn H. Sørbye, Pedro G. Nicolau, Håvard Rue

Publication date 28 September 2022

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11203-021-09262-4

zbMATH Keywords

bias correctionGaussian copulaorthogonal polynomial regressionsampling distributionskew-normal approximation

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

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• On exponential rates of estimators of the parameter in the first-order autoregressive process

Cites work

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• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• Bias of some commonly-used time series estimates
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• Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood
• Bootstrap Prediction Intervals for Autoregression
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• scientific article; zbMATH DE number 3921782 (Why is no real title available?)
• scientific article; zbMATH DE number 1145164 (Why is no real title available?)
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• Introduction to Time Series and Forecasting
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• On Bayesian Modeling of Fat Tails and Skewness
• Partial autocorrelation parameterization for subset autoregression
• The Bias of Autoregressive Coefficient Estimators
• Time series analysis and its applications. With R examples
• Time series analysis. Forecasting and control

Cited in

(2)

• ARbiascorrect
• Long-run risk in stationary vector autoregressive models

Describes a project that uses

Uses Software

• itsmr
• astsa
• FitAR
• R
• fGarch
• RMetrics
• BootPR

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