Bias correction in ARMA models
AbstractWe give a general matrix formula for computing the bias of the exact unconditional maximum likelihood estimate in ARMA models, with known and unknown mean, up to order 1/n, where n is the length of the series. Some illustrative examples are presented.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 19 (1994)
Issue (Month): 3 (February)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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