Finite-sample properties of estimators for first and second order autoregressive processes

Sigrunn H. Sørbye (), Pedro G. Nicolau () and Håvard Rue ()
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Sigrunn H. Sørbye: UiT The Arctic University of Norway
Pedro G. Nicolau: UiT The Arctic University of Norway
Håvard Rue: King Abdullah University of Science and Technology

Statistical Inference for Stochastic Processes, 2022, vol. 25, issue 3, No 7, 577-598

Abstract: Abstract The class of autoregressive (AR) processes is extensively used to model temporal dependence in observed time series. Such models are easily available and routinely fitted using freely available statistical software like R. A potential problem is that commonly applied estimators for the coefficients of AR processes are severely biased when the time series are short. This paper studies the finite-sample properties of well-known estimators for the coefficients of stationary AR(1) and AR(2) processes and provides bias-corrected versions of these estimators which are quick and easy to apply. The new estimators are constructed by modeling the relationship between the true and originally estimated AR coefficients using weighted orthogonal polynomial regression, taking the sampling distribution of the original estimators into account. The finite-sample distributions of the new bias-corrected estimators are approximated using transformations of skew-normal densities, combined with a Gaussian copula approximation in the AR(2) case. The properties of the new estimators are demonstrated by simulations and in the analysis of a real ecological data set. The estimators are easily available in our accompanying R-package for AR(1) and AR(2) processes of length 10–50, both giving bias-corrected coefficient estimates and corresponding confidence intervals.

Keywords: Bias correction; Gaussian copula; Orthogonal polynomial regression; Sampling distribution; Skew-normal approximation (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11203-021-09262-4

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