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

DOI10.1007/S003620100077MaRDI QIDQ5956478zbMATH OpenOpenAlexFDO

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)

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Cites work

• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• 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?)
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

Cited in

(6)

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

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