Biases of Correlograms and of AR Representations of Stationary Series

10 Pages Posted: 13 Jan 2012 Last revised: 27 Feb 2012

See all articles by Karim M. Abadir

Karim M. Abadir

Imperial College Business School

Rolf Larsson

Stockholm University

Date Written: March 28, 2011

Abstract

We derive the relation between the biases of correlograms and of estimates of auto-regressive AR(k) representations of stationary series, and we illustrate it with a simple AR example. The new relation allows for k to vary with the sample size, which is a representation that can be used for most stationary processes. As a result, the biases of the estimators of such processes can now be quantified explicitly and in a unified way.

Suggested Citation

Abadir, Karim M. and Larsson, Rolf, Biases of Correlograms and of AR Representations of Stationary Series (March 28, 2011). Available at SSRN: https://ssrn.com/abstract=1984823 or http://dx.doi.org/10.2139/ssrn.1984823

Karim M. Abadir (Contact Author)

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://www3.imperial.ac.uk/portal/page?_pageid=61,629646&_dad=portallive&_schema=PORTALLIVE

Rolf Larsson

Stockholm University ( email )

Department of Statistics
S-106 91 Stockholm
Sweden

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