A Median-Unbiased Estimator of the AR(1) Coefficient期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

A Median-Unbiased Estimator of the AR(1) Coefficient

Authors:	Ryszard Zielinski

Affiliation:	Institute of Mathematics, Polish Academy of Science, Warsaw

Abstract:	A proof is given that the median of the ratios of consecutive observations of a stationary first-order autoregressive process X_t = α X _{t −1} + Y_t with P ( Y_t ≥ 0) = P ( Y_t ≤ 0) = 1/2 and P ( X_t = 0) = 0 is a median-unbiased estimator of α.

Keywords:	Autoregressive model median-unbiasedness