Bias correction in ARMA models

Gauss M. Cordeiro and Ruben Klein

Statistics & Probability Letters, 1994, vol. 19, issue 3, 169-176

Abstract: 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.

Keywords: ARMA; model; bias; correction; maximum; likelihood; estimate (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (29)

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