The bias mapping of the Yule-Walker estimator is a contraction

DOI10.5705/ss.202017.0466zbMath1441.62231OpenAlexW2810036514MaRDI QIDQ5243738

Paul Shaman, Philip A. Ernst

Publication date: 19 November 2019

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/538919e9627a9d4e20bbf13c8fdb96a1c4d49431

zbMATH Keywords

departure from normalityautoregressive coefficientsYule-Walker estimationbias mapping

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)