Residuals Based Estimators of the Covariogram

DOI10.1080/02331889508802490zbMath0812.62090OpenAlexW2032942588MaRDI QIDQ4763485

Martin O. Grondona, Noel Cressie

Publication date: 10 April 1995

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889508802490

zbMATH Keywords

predictionexpectationsARMA processcorrelated errorsrecursive residualspolynomial trendcovariogram estimatorsordinary- least-squares residualssecond- order stationary errors

Mathematics Subject Classification ID

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

Cites Work

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• Median based covariogram estimators reduce bias
• Estimators of covariances in time series models
• RECURSIVE ESTIMATION OF THE GENERAL LINEAR MODEL WITH DEPENDENT ERRORS AND MULTIPLE ADDITIONAL OBSERVATIONS1

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