Asymptotic bias of the least squares estimator for multivariate autoregressive models
type: Item
instance of: scholarly article
title: Asymptotic bias of the least squares estimator for multivariate autoregressive models
zbMATH Open document ID: 0573.62028
DOI: 10.1007/BF02481980
author: Taku Yamamoto
author: Naoto Kunitomo
published in: Annals of the Institute of Statistical Mathematics
publication date: 1984-01-01T00:00:00Z
review text: In this paper the asymptotic bias of the least squares estimator for multivariate autoregressive models is derived. Formulas for the low order univariate autoregressive models are given in terms of simple functions of parameters.
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 3915415
zbMATH Keywords: asymptotic bias
zbMATH Keywords: least squares estimator
zbMATH Keywords: multivariate autoregressive models
MaRDI profile type: Publication
cites work: On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
cites work: Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
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cites work: Q4195813
cites work: NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
cites work: The exact moments of the least squares estimator for the autoregressive model
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cites work: Asymptotic expansions for the mean and variance of the serial correlation coefficient
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description: scientific article; zbMATH DE number 3915415