A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function

R. J. Bhansali

Journal of the Royal Statistical Society Series C, 1983, vol. 32, issue 2, 141-149

Abstract: The results of a simulation study aimed at investigating and comparing the finite sample behaviour of the autoregressive and the window methods of estimating the inverse correlation function are described. Three moving average and one autoregressive processes of second order are considered. The behaviour of these estimators as the order, k, of the fitted autoregression, the bandwidth parameter, m, of the spectral window and the series length, T, are varied is discussed. The usefulness of the asymptotic distribution of these estimators as an approximation to their finite sample distribution is examined.

Date: 1983
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