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• W2903749433 abstract "Consider a small-sample parametric estimation problem, such as the estimation of the coefficient in a Gaussian AR(1). We develop a numerical algorithm that determines an estimator that is nearly (mean or median) unbiased, and among all such estimators, comes close to minimizing a weighted average risk criterion. We also apply our generic approach to the median unbiased estimation of the degree of time variation in a Gaussian local-level model, and to a quantile unbiased point forecast for a Gaussian AR(1) process." @default.
• W2903749433 created "2018-12-22" @default.
• W2903749433 creator A5030971614 @default.
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• W2903749433 date "2019-03-01" @default.
• W2903749433 modified "2023-10-18" @default.
• W2903749433 title "Nearly weighted risk minimal unbiased estimation" @default.
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• W2903749433 doi "https://doi.org/10.1016/j.jeconom.2018.11.016" @default.
• W2903749433 hasPublicationYear "2019" @default.
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