Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean

DOI10.1111/jtsa.12184zbMath1403.62171OpenAlexW2270481668MaRDI QIDQ2830677

Jingjing Yang, Timothy J. Vogelsang

Publication date: 28 October 2016

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

Full work available at URL: https://doi.org/10.1111/jtsa.12184

zbMATH Keywords

biasautocorrelationsample autocovariance

Mathematics Subject Classification ID

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

Related Items (5)

Correcting the bias of the sample cross‐covariance estimator ⋮ Portmanteau tests based on quadratic forms in the autocorrelations ⋮ Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators ⋮ Nearly unbiased estimation of sample skewness ⋮ A simple nearly unbiased estimator of cross‐covariances

Cites Work

• Unnamed Item
• Highly Robust Estimation of the Autocovariance Function
• Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends
• Time series: theory and methods.
• Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
• NOTES ON BIAS IN ESTIMATION
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• First Order Autoregression: Inference, Estimation, and Prediction
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

This page was built for publication: Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean