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Biases of correlogr...
Abstract
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- 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.
Keyword
- Auto-correlation function (ACF) and correlogram
- auto-regressive (AR) representation
- least-squares bias
- Statistics
- Statistik
Publication and Content Type
- ref (subject category)
- art (subject category)
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