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An Explicit Nearly Unbiased Estimate Of The Ar(1) Parameter For Repeated Measurements

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  • A. Azzalini
  • A. C. Frigo

Abstract

. It is assumed that n(n≥ 1) independent time series, each of length T. have the same autocorrelation function of the AR(1) type, but they may differ in mean value, with the mean value of the ith series equal to a linear combination of a set of covariates associated with the series. To estimate the common autoregressive parameter, Daniels' method is extended to the present case. As, for small T, this gives a severely biased estimate, a formula for its mean value is obtained. A modified estimate which has a substantially smaller bias is found using this formula.

Suggested Citation

  • A. Azzalini & A. C. Frigo, 1991. "An Explicit Nearly Unbiased Estimate Of The Ar(1) Parameter For Repeated Measurements," Journal of Time Series Analysis, Wiley Blackwell, vol. 12(4), pages 273-281, July.
    • Handle: RePEc:bla:jtsera:v:12:y:1991:i:4:p:273-281
    DOI: 10.1111/j.1467-9892.1991.tb00083.x
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