Bias of some commonly-used time series estimates

DOI10.1093/biomet/70.2.389zbMath0525.62085OpenAlexW2063613753MaRDI QIDQ3038453

Jostein Paulsen, Dag Tjøstheim

Publication date: 1983

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/70.2.389

zbMATH Keywords

biasautoregressive processesleast squares estimatessimulation experimentYule-Walker estimates

Mathematics Subject Classification ID

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

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