A Median-Unbiased Estimator of the AR(1) Coefficient

DOI10.1111/1467-9892.00150zbMath0956.62090OpenAlexW2044319492MaRDI QIDQ2703248

Ryszard Zieliński

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00150

zbMATH Keywords

autoregressive modelsmedian-unbiasedness

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (6)

Median Unbiased and Maximum Likelihood Estimations of ARCH(0, 1) Coefficient ⋮ Median-based estimation of dynamic panel models with fixed effects ⋮ Heteroscedasticity-robust estimation of autocorrelation ⋮ Dynamic association modeling in \(2\times 2\) contingency tables ⋮ Robust Testing Serial Correlation in AR(1) Processes in the Presence of a Single Additive Outlier ⋮ Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form

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