scientific article; zbMATH DE number 2060186

zbMATH Open1034.62085MaRDI QIDQ4458416FDOQ4458416

Authors: Clélia M. C. Toloi, Raúl P. Mentz, Pedro A. Morettin 

Publication date: 17 March 2004

Title of this publication is not available (Why is that?)

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zbMATH Keywords

maximum likelihoodtime seriesbiasleast squaresmethod of momentsautoregressive moving average modelsresidual variance

Mathematics Subject Classification ID

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

Cited In (9)

• Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
• Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
• Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
• Bias reduction of the maximum-likelihood estimator for a conditional Gaussian MA(1) model
• A general result on the estimation bias of ARMA models
• The bias of \(\sigma \) in dynamic models
• On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods
• A closed form of biased AR(1) model
• Title not available (Why is that?)

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