REDUCTION OF THE ASYMPTOTIC BIAS OF AUTOREGRESSIVE AND SPECTRAL ESTIMATORS BY TAPERING

H.‐C. Zhang

Journal of Time Series Analysis, 1992, vol. 13, issue 5, 451-469

Abstract: Abstract. The asymptotic bias to terms of order T‐1, where T is the observed series length, is studied for estimators of the coefficients and disturbance variance in an AR(p) model. Reduction of the asymptotic bias by tapering is established and, if the tapering function is defined appropriately to depend on T, not only is the asymptotic bias reduced, but the asymptotic distribution of the estimators is not altered. In addition, the asymptotic biases of other time series parameter estimators constructed from the sample covariance function, such as several types of spectral estimators, can also be reduced by tapering.

Date: 1992
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