A simple nearly unbiased estimator of cross-covariances

DOI10.1111/JTSA.12565MaRDI QIDQ4997697zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends
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• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
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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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