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Estimators of covariances in time series models

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  • Chaubey, Yogendra P.

Abstract

The theory of Minimum Norm Quadratic Estimators for estimating variances and covariances is applied to show that some commonly used estimators of covariances in time series models are easily derived using the above principle. In applying the theory MINQE, it is observed that no unbiased estimator exists in the class of invariant quadratics.

Suggested Citation

  • Chaubey, Yogendra P., 1985. "Estimators of covariances in time series models," Statistics & Probability Letters, Elsevier, vol. 3(1), pages 51-53, February.
    • Handle: RePEc:eee:stapro:v:3:y:1985:i:1:p:51-53
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