scientific article; zbMATH DE number 1069585

MaRDI QIDQ4356546zbMATH OpenFDO

Authors

Publication date 28 January 1998

zbMATH Keywords

asymptotic biasasymptotic covariance matrixpartial autocorrelation estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sufficient statistics and fields (62B05)

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(6)

• Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
• Asymptotic bias of the least squares estimator for multivariate autoregressive models
• Closed forms for asymptotic bias and variance in autoregressive models with unit roots
• Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation
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• The Bias of Autoregressive Coefficient Estimators

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