Median based covariogram estimators reduce bias

Noel Cressie and Gary Glonek

Statistics & Probability Letters, 1984, vol. 2, issue 5, 299-304

Abstract: The usual product moment covariogram estimator of a Gaussian process can have appreciable bias. This article shows that the bias is decreased when the sample mean in the estimator is replaced with med(X), the sample median (provided a mild condition on the negative covariances is satisfied). Identical conclusions are drawn, even when the Gaussian process is (symmetrically) contaminated.

Keywords: additive; outlier; contamination; Gaussian; process; m-dependence; stationary; process; time; series (search for similar items in EconPapers)
Date: 1984
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