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A Median‐Unbiased Estimator of the AR(1) Coefficient

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  • Ryszard Zielinski

Abstract

A proof is given that the median of the ratios of consecutive observations of a stationary first‐order autoregressive process Xt = αXt−1 + Yt with P(Yt≥ 0) = P(Yt≤ 0) = 1/2 and P(Xt = 0) = 0 is a median‐unbiased estimator of α.

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  • Ryszard Zielinski, 1999. "A Median‐Unbiased Estimator of the AR(1) Coefficient," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(4), pages 477-481, July.
    • Handle: RePEc:bla:jtsera:v:20:y:1999:i:4:p:477-481
    DOI: 10.1111/1467-9892.00150
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    Cited by:

    1. Erhard Reschenhofer, 2017. "Using Ratios of Successive Returns for the Estimation of Serial Correlation in Return Series," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 2(9), pages 125-130, September.

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