Bias correction in ARMA models

DOI10.1016/0167-7152(94)90100-7zbMath0791.62087OpenAlexW2041869004MaRDI QIDQ1324594

Ruben Klein, Gauss M. Cordeiro

Publication date: 24 May 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90100-7

zbMATH Keywords

ARMA modelsexamplesbias correctionexact unconditional maximum likelihood estimategeneral matrix formulaknown and unknown mean

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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Uses Software

• Maple
• REDUCE

Cites Work

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• Maximum likelihood estimation of models for residual covariance in spatial regression
• Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
• On the maximum likelihood estimation of the parameters of a Gaussian moving average process
• The Bias of Autoregressive Coefficient Estimators
• The likelihood function of stationary autoregressive-moving average models
• On the inverses of some patterned matrices arising in the theory of stationary time series
• On the inverse of the covariance matrix for an autoregressive-moving average process
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS

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