Biases of correlograms and of AR representations of stationary series
2012 (English)In: Journal of Time Series Econometrics, ISSN 1941-1928, Vol. 4, no 1Article in journal (Refereed) Published
We derive the relation between the biases of correlograms and of estimates of auto-regressive AR(k) representations of stationary series, and we illustrate it with a simple AR example. The new relation allows for k to vary with the sample size, which is a representation that can be used for most stationary processes. As a result, the biases of the estimators of such processes can now be quantified explicitly and in a unified way.
Place, publisher, year, edition, pages
2012. Vol. 4, no 1
Auto-correlation function (ACF) and correlogram, auto-regressive (AR) representation, least-squares bias
Research subject Statistics
IdentifiersURN: urn:nbn:se:uu:diva-163028DOI: 10.1515/1941-1928.1130OAI: oai:DiVA.org:uu-163028DiVA: diva2:462479