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

DOI10.1111/J.1467-9892.1992.TB00120.XMaRDI QIDQ4021571zbMATH OpenOpenAlexFDO

Authors

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

\(\text{AR}(p)\) modelasymptotic biasfixed taperingsample covariance functionspectral estimatorstapering functiontime series parameter estimatorsvariable taperingYule-Walker estimator

Mathematics Subject Classification ID

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

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Cites work

• Asymptotic normality of spectral estimates
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• Edge effects and efficient parameter estimation for stationary random fields
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• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• The Bias of Autoregressive Coefficient Estimators

Cited in

(10)

• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• Recovering of autoregressive spectral estimates of signals buried in noise
• Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks
• The Yule-Walker equations as a weighted least-squares problem and the association with tapering
• Bias correction in the frequency domain estimation of time series models
• On the frequency domain estimation of the innovation variance of a stationary univariate time series
• scientific article; zbMATH DE number 3978209 (Why is no real title available?)
• A mean squared error criterion for time series data windows
• Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation

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