| Abstract: | Abstract. It is assumed that n ( n ≥ 1) independent time series, each of length T. have the same autocorrelation function of the AR(1) type, but they may differ in mean value, with the mean value of the i th series equal to a linear combination of a set of covariates associated with the series. To estimate the common autoregressive parameter, Daniels' method is extended to the present case. As, for small T , this gives a severely biased estimate, a formula for its mean value is obtained. A modified estimate which has a substantially smaller bias is found using this formula. |
