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Biases of correlogr...
Biases of correlograms and of AR representations of stationary series
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- Abadir, Karim M. (författare)
- Imperial College, London
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- Larsson, Rolf (författare)
- Uppsala universitet,Statistiska institutionen
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(creator_code:org_t)
- Walter de Gruyter GmbH, 2012
- 2012
- Engelska.
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Ingår i: Journal of Time Series Econometrics. - : Walter de Gruyter GmbH. - 1941-1928. ; 4:1
- Relaterad länk:
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http://www.rcea.org/...
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visa fler...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- We derive the relation between the biases of correlograms and of estimates of auto-regressive AR(k) representations of stationary series, and we illustrate it with a simple AR example. The new relation allows for k to vary with the sample size, which is a representation that can be used for most stationary processes. As a result, the biases of the estimators of such processes can now be quantified explicitly and in a unified way.
Nyckelord
- Auto-correlation function (ACF) and correlogram
- auto-regressive (AR) representation
- least-squares bias
- Statistics
- Statistik
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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