A simple nearly unbiased estimator of cross-covariances

DOI10.1111/JTSA.12565zbMATH Open1468.62294OpenAlexW3094515889MaRDI QIDQ4997697FDOQ4997697

Authors: Y. F. Li, Yao Rao 

Publication date: 30 June 2021

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

Full work available at URL: https://doi.org/10.1111/jtsa.12565

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zbMATH Keywords

biascross-covariancemulti-variate time seriesvector moving average (VMA) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cites Work

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• Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics
• Multivariate time series analysis and applications
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators
• Nearly unbiased estimation of sample skewness
• A generalized least squares estimation method for VARMA models

Cited In (3)

• An almost unbiased estimator of the coefficient of variation
• Unbiased estimator for the variance of the leave-one-out cross-validation estimator for a Bayesian normal model with fixed variance
• Correcting the bias of the sample cross‐covariance estimator

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