Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models

DOI10.1111/J.1467-9892.2005.00459.XMaRDI QIDQ3440753zbMATH OpenOpenAlexFDO

Authors Y. Zhang, A. Ian McLeod

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.01240

zbMATH Keywords

Burg estimatecharacteristic equationsymbolic computation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Symbolic computation and algebraic computation (68W30)

Abstract: A symbolic method is discussed which can be used to obtain the asymptotic bias and variance to order $O(1/n)$ for estimators in stationary time series. Using this method the bias to $O(1/n)$ of the Burg estimator in AR(1) and AR(2) models is shown to be equal to that of the least squares estimators in both the known and unknown mean cases. Previous researchers have only been able to obtain simulation results for this bias because this problem is too intractable without using computer algebra.

Recommendations

• The Bias of Autoregressive Coefficient Estimators
• Mean estimation bias in least squares estimation of autoregressive processes
• Asymptotic analysis of the bias of the modified Yule-Walker estimator
• A fixed point characterization for bias of autoregressive estimators
• Bias of Autoregressive Spectral Estimators

Cites work

• scientific article; zbMATH DE number 1730488 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• Spectral Analysis for Physical Applications
• Symbolic computation for statistical inference

Cited in

(8)

• Faster ARMA maximum likelihood estimation
• Partial autocorrelation parameterization for subset autoregression
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Asymptotic analysis of the bias of the modified Yule-Walker estimator
• Developments in maximum likelihood unit root tests
• Improved seasonal Mann-Kendall tests for trend analysis in water resources time series
• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
• Bootstrap rank tests for trend in time series

Describes a project that uses

Uses Software

• mathStatica
• Mathematica
• sapa

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