Efficiencies of Weighted Averages in Stationary Autoregressive Processes

DOI10.2307/2289004MaRDI QIDQ3753350zbMATH OpenOpenAlexFDO

Authors Michael E. Mack

Publication date 1986

Full work available at URL https://doi.org/10.2307/2289004

zbMATH Keywords

estimationsample meanweighted averagessecond-order efficiencylinear unbiased estimatorshigh-frequency componentmean of autoregressive processes

Mathematics Subject Classification ID

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

Recommendations

• Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
• Estimation of the mean of multivariate AR processes
• Estimating the mean under strong persistence
• Higher order asymptotic investigations of weighted estimators for Gaussian ARMA processes
• Comparison of the efficiency for mean estimators in time series

Cited in

(3)

• Robust location estimation under dependence
• Efficiency of Weighted Average Derivative Estimators and Index Models
• Estimating the mean under strong persistence

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