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Biases of correlograms and of AR representations of stationary series
Imperial College, London.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2012 (English)In: Journal of Time Series Econometrics, ISSN 1941-1928, Vol. 4, no 1Article in journal (Refereed) Published
Abstract [en]

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
Keyword [en]
Auto-correlation function (ACF) and correlogram, auto-regressive (AR) representation, least-squares bias
National Category
Social Sciences
Research subject
URN: urn:nbn:se:uu:diva-163028DOI: 10.1515/1941-1928.1130OAI: oai:DiVA.org:uu-163028DiVA: diva2:462479
Available from: 2011-12-07 Created: 2011-12-07 Last updated: 2012-09-17Bibliographically approved

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Larsson, Rolf
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