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Bias correction in ARMA models

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  • Cordeiro, Gauss M.
  • Klein, Ruben
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    Abstract

    We 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 Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 19 (1994)
    Issue (Month): 3 (February)
    Pages: 169-176

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    Handle: RePEc:eee:stapro:v:19:y:1994:i:3:p:169-176

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    Related research

    Keywords: ARMA model bias correction maximum likelihood estimate;

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    Cited by:
    1. Cordeiro, Gauss M. & Ferrari, Silvia L. P. & Uribe-Opazo, Miguel A. & Vasconcellos, Klaus L. P., 2000. "Corrected maximum-likelihood estimation in a class of symmetric nonlinear regression models," Statistics & Probability Letters, Elsevier, vol. 46(4), pages 317-328, February.
    2. David E. Giles & Hui Feng, 2009. "Bias of the Maximum Likelihood Estimators of the Two-Parameter Gamma Distribution Revisited," Econometrics Working Papers 0908, Department of Economics, University of Victoria.
    3. F. Cribari-Neto & G.M. Cordeiro, 1995. "On Bartlett and Bartlett-Type Corrections," Econometrics 9507001, EconWPA.
    4. David E. Giles & Xiao Ling, 2011. "Bias Reduction for the Maximum Likelihood Estimator of the Parameters of the Generalized Rayleigh Family of Distributions," Econometrics Working Papers 1111, Department of Economics, University of Victoria.
    5. Reinsel, Gregory C. & Cheang, Wai-Kwong, 2003. "Approximate ML and REML estimation for regression models with spatial or time series AR(1) noise," Statistics & Probability Letters, Elsevier, vol. 62(2), pages 123-135, April.
    6. Bao, Yong & Ullah, Aman, 2007. "The second-order bias and mean squared error of estimators in time-series models," Journal of Econometrics, Elsevier, vol. 140(2), pages 650-669, October.
    7. Patrick Richard, 2009. "Improving the accuracy of the analytical indirect inference estimator for MA models," Economics Bulletin, AccessEcon, vol. 29(4), pages 2795-2802.
    8. David E. Giles, 2012. "A Note on Improved Estimation for the Topp-Leone Distribution," Econometrics Working Papers 1203, Department of Economics, University of Victoria.
    9. Ghitany, M.E. & Al-Mutairi, D.K. & Balakrishnan, N. & Al-Enezi, L.J., 2013. "Power Lindley distribution and associated inference," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 20-33.
    10. Gauss Cordeiro & LĂșcia Barroso, 2007. "A third-order bias corrected estimate in generalized linear models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(1), pages 76-89, May.
    11. Ferrari, Silvia L. P. & Cribari-Neto, Francisco, 1998. "On bootstrap and analytical bias corrections," Economics Letters, Elsevier, vol. 58(1), pages 7-15, January.
    12. Cordeiro, Gauss M. & Vasconcellos, Klaus L. P., 1997. "Bias correction for a class of multivariate nonlinear regression models," Statistics & Probability Letters, Elsevier, vol. 35(2), pages 155-164, September.
    13. David E. Giles, 2009. "Bias Reduction for the Maximum Likelihood Estimator of the Scale Parameter in the Half-Logistic Distribution," Econometrics Working Papers 0901, Department of Economics, University of Victoria.
    14. Patriota, Alexandre G. & Lemonte, Artur J., 2009. "Bias correction in a multivariate normal regression model with general parameterization," Statistics & Probability Letters, Elsevier, vol. 79(15), pages 1655-1662, August.

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