Nearly weighted risk minimal unbiased estimation

Ulrich K. Müller and Yulong Wang

Journal of Econometrics, 2019, vol. 209, issue 1, 18-34

Abstract: Consider a small-sample parametric estimation problem, such as the estimation of the coefficient in a Gaussian AR(1). We develop a numerical algorithm that determines an estimator that is nearly (mean or median) unbiased, and among all such estimators, comes close to minimizing a weighted average risk criterion. We also apply our generic approach to the median unbiased estimation of the degree of time variation in a Gaussian local-level model, and to a quantile unbiased point forecast for a Gaussian AR(1) process.

Keywords: Mean bias; Median bias; Autoregression; Quantile unbiased forecast (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:209:y:2019:i:1:p:18-34

DOI: 10.1016/j.jeconom.2018.11.016

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