Efficiencies of Weighted Averages in Stationary Autoregressive Processes

DOI10.2307/2289004zbMATH Open0612.62125OpenAlexW4241697441MaRDI QIDQ3753350FDOQ3753350

Authors: Michael E. Mack 

Publication date: 1986

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

Recommendations

• Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
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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)

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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