REDUCTION OF THE ASYMPTOTIC BIAS OF AUTOREGRESSIVE AND SPECTRAL ESTIMATORS BY TAPERING

DOI10.1111/j.1467-9892.1992.tb00120.xzbMath0753.62063OpenAlexW1991591565MaRDI QIDQ4021571

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Publication date: 16 January 1993

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00120.x

zbMATH Keywords

asymptotic biasYule-Walker estimatorspectral estimatorstapering functionsample covariance function\(\text{AR}(p)\) modelfixed taperingtime series parameter estimatorsvariable tapering

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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Cites Work

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• The Bias of Autoregressive Coefficient Estimators