Skip Navigation

Biometrika 1973 60(3):599-605; doi:10.1093/biomet/60.3.599
© 1973 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by McCLAVE, J. T.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

On the bias of autoregressive approximations to moving averages

JAMES T. McCLAVE *

State University of New York at Buffalo

A rather extensive empirical study of autoregressive approximations to first-order moving averages, and in particular their use in estimating the moving average coefficient, shows a significant bias to be present. This is of special importance now that autoregressive spectral estimators are becoming popular. Several conjectures are made about the cause of bias, and some procedures are developed to reduce this bias.

Key Words: Moving average process • Autoregressive process • Bias


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.