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

Ryszard Zielinski

Journal of Time Series Analysis, 1999, vol. 20, issue 4, 477-481

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.

Date: 1999
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