Bias of Autoregressive Spectral Estimators

DOI10.2307/2289606zbMATH Open0717.62087OpenAlexW4240348499MaRDI QIDQ5748784FDOQ5748784

Authors: Robert A. Stine, Paul Shaman 

Publication date: 1990

Full work available at URL: https://doi.org/10.2307/2289606

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• scientific article; zbMATH DE number 3852259

zbMATH Keywords

biasspectral densityautoregressive processesleast squares estimatorautoregressive modelsGaussian seriesbias approximationspolynomial function of timeunbiased estimation of entropyYule- Walker spectral estimator

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Cited In (20)

• Variance expressions for spectra estimated using auto-regressions.
• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
• Asymptotic bias of the high-order autoregressive estimates of sinusoidal frequencies
• The bias mapping of the Yule-Walker estimator is a contraction
• Title not available (Why is that?)
• Bias compensation methods for minimum statistics noise power spectral density estimation
• Biases of correlograms and of AR representations of stationary series
• Lag order selection for an optimal autoregressive covariance matrix estimator
• Asymptotic analysis of the bias of the modified Yule-Walker estimator
• Autoregression and irregular sampling: spectral estimation.
• Title not available (Why is that?)
• Evaluation of bias in higher-order spectral estimation
• REDUCTION OF THE ASYMPTOTIC BIAS OF AUTOREGRESSIVE AND SPECTRAL ESTIMATORS BY TAPERING
• Loss of spectral peaks in autoregressive spectral estimation
• A fixed point characterization for bias of autoregressive estimators
• Mean estimation bias in least squares estimation of autoregressive processes
• Autoregressive spectral estimates under ignored changes in the mean
• Title not available (Why is that?)
• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
• Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.

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