An improved estimation method for univariate autoregressive models

DOI10.1016/0047-259X(88)90139-XzbMath0659.62108OpenAlexW2079611676MaRDI QIDQ1112521

Tarmo M. Pukkila

Publication date: 1988

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(88)90139-x

zbMATH Keywords

Autoregressive modelspartial autocorrelationYule-Walker equationsautocorrelation estimatesBurg estimates

Mathematics Subject Classification ID

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

Related Items (2)

THE IDENTIFICATION OF SEASONAL AUTOREGRESSIVE MODELS ⋮ On the criterion function for ARMA estimation

Cites Work

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• Bias of some commonly-used time series estimates
• Loss of spectral peaks in autoregressive spectral estimation
• A Study of Autoregressive and Window Spectral Estimation

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