Bias correction in ARMA models
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.
Volume (Year): 19 (1994)
Issue (Month): 3 (February)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:19:y:1994:i:3:p:169-176. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If references are entirely missing, you can add them using this form.