A simple nearly unbiased estimator of cross‐covariances

DOI10.1111/jtsa.12565zbMath1468.62294OpenAlexW3094515889MaRDI QIDQ4997697

Yao Rao, Yifan Li

Publication date: 30 June 2021

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

Full work available at URL: https://doi.org/10.1111/jtsa.12565

zbMATH Keywords

biascross-covariancemulti-variate time seriesvector moving average (VMA) model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Correcting the bias of the sample cross‐covariance estimator

Cites Work

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