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On the Best Unbiased Estimate for the Mean of a Short Autoregressive Time Series

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  • Pham, Tuan Dinh
  • Tran, Lanh Tat

Abstract

A simple formula for computing the best linear unbiased estimate of the mean of an autoregressive process as well as its variance is given. Numerical results show that the estimate can have much lower variance than that of the usual sample mean.

Suggested Citation

  • Pham, Tuan Dinh & Tran, Lanh Tat, 1992. "On the Best Unbiased Estimate for the Mean of a Short Autoregressive Time Series," Econometric Theory, Cambridge University Press, vol. 8(1), pages 120-126, March.
  • Handle: RePEc:cup:etheor:v:8:y:1992:i:01:p:120-126_01
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    Cited by:

    1. Sheth-Voss, Pieter A. & Willemain, Thomas R. & Haddock, Jorge, 2005. "Estimating the steady-state mean from short transient simulations," European Journal of Operational Research, Elsevier, vol. 162(2), pages 403-417, April.

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