A median-unbiased estimator of the ar(1) coefficient

Journal of Time Series Analysis

Volumn 20, Issue 4, 1999, Pages 477-481

  Zieliński, Ryszard ^a  

^a INSTITUTE OF MATHEMATICS   (Poland)

Author keywords

Autoregressive model; Median unbiasedness

Indexed keywords

EID: 0040313453     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00150     Document Type: Article

References (4)

1. ANDREWS, D. W. K. (1993) Exactly median-unbiased estimation of first order auto-regressive/unit root models. Econometrica 61, 139-65.
2. DAVID, H. A. (1981) Order Statistics, 2nd Edn. New York: Wiley.
3. HURWICZ, L. (1950) Least-squares bias in time series. In Statistical Inference in Dynamic Economic Models (ed. T. C. Koopmans). New York: Wiley.
4. ZIELIŃSKI, R. (1995) Estimating median and other quantiles in nonparametric models. Appl. Math. 23 (3), 363-70. Correction in Appl Math. 23 (4), 475.