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- W2004038478 abstract "SummaryThe paper has its origin in the finding that the frequency-domain estimation of ARh4A models can produce estimates which may be remarkably biased. Both of the frequency-domain estimation methods considered in the paper are based on the frequency-domain likelihood function, which depends on the periodogram ordinates of the time series. It is found that, as estimates of the spectrum ordinates, the corresponding periodogram ordinates may contain a rather remarkable bias, which again causes bias in the estimates of parameters produced by a frequency-domain estimation method of an ARMA model. The bias is reduced by tapering the observed time series. An example is given of estimation experiments for simulated time series from a pure autoregressive process of order two." @default.
- W2004038478 created "2016-06-24" @default.
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- W2004038478 date "1979-06-01" @default.
- W2004038478 modified "2023-09-22" @default.
- W2004038478 title "THE BIAS IN PERIODOGRAM ORDINATES AND THE ESTIMATION OF ARMA MODELS IN THE FREQUENCY DOMAIN" @default.
- W2004038478 cites W1971767823 @default.
- W2004038478 doi "https://doi.org/10.1111/j.1467-842x.1979.tb01126.x" @default.
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