Estimators of covariances in time series models (Q2266328)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimators of covariances in time series models |
scientific article |
Statements
Estimators of covariances in time series models (English)
0 references
1985
0 references
The theory of minimum norm quadratic-estimators for estimating variances and covariances is applied to show that some commonly used estimators of covariances in times series models are easily derived using the above principle. In applying the theory MINQE, it is observed that no unbiased estimator exists in the class of invariant quadratics.
0 references
unbiasedness
0 references
jackknife estimator
0 references
autocovariance estimation
0 references
minimum norm quadratic-estimators
0 references
estimators of covariances
0 references
times series models
0 references
MINQE
0 references
invariant quadratics
0 references
