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

Mathematics Subject Classification ID

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

Recommendations

• Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
• The Bias of Autoregressive Coefficient Estimators
• Inference About the First-Order Autoregressive Coefficient
• Mean estimation bias in least squares estimation of autoregressive processes
• Bias of Autoregressive Spectral Estimators

Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• scientific article; zbMATH DE number 3103039 (Why is no real title available?)
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

Cited in

(6)

• GENERAL FORMULAS FOR SERIAL CORRELATION, VARIANCE AND LIKELIHOOD FUNCTION RELATING TO AR(k) MODELS
• Bent-cable regression with autoregressive noise
• Biases of correlograms and of AR representations of stationary series
• 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.

This page was built for publication: Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5956478)