Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.

DOI10.1007/S003620100077zbMATH Open1099.62532OpenAlexW2056539671MaRDI QIDQ5956478FDOQ5956478

Authors: Manfred Mudelsee 

Publication date: 2001

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s003620100077

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Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Title not available (Why is that?)
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• Title not available (Why is that?)
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• Title not available (Why is that?)

Cited In (6)

• Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
• Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities
• On Bartlett's test for correlation between time series.
• Biases of correlograms and of AR representations of stationary series
• Bent-cable regression with autoregressive noise
• GENERAL FORMULAS FOR SERIAL CORRELATION, VARIANCE AND LIKELIHOOD FUNCTION RELATING TO AR(k) MODELS

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