Finite-sample properties of estimators for first and second order autoregressive processes

DOI10.1007/s11203-021-09262-4OpenAlexW3212347373MaRDI QIDQ2676880

Pedro G. Nicolau, Sigrunn H. Sørbye, Håvard Rue

Publication date: 28 September 2022

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-021-09262-4

zbMATH Keywords

bias correctionGaussian copulasampling distributionorthogonal polynomial regressionskew-normal approximation

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Related Items (1)

ARbiascorrect

Uses Software

• R
• FitAR
• RMetrics
• fGarch
• astsa
• itsmr
• BootPR

Cites Work

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• Bias reduction in autoregressive models
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• Time Series Analysis and Its Applications
• Bias of some commonly-used time series estimates
• Partial autocorrelation parameterization for subset autoregression
• Bootstrap Prediction Intervals for Autoregression
• The Bias of Autoregressive Coefficient Estimators
• On Bayesian Modeling of Fat Tails and Skewness
• Introduction to Time Series and Forecasting
• Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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