Title :
Small sample bias reduction of the first-order autoregressive parameter least-squares estimator
Author :
Nahorski, Zbignew ; Studzinski, Jan
Author_Institution :
Polish Academy of Sciences, Newelska, Warsaw, Poland
fDate :
9/1/1985 12:00:00 AM
Abstract :
A method to reduce the small sample bias in the least-squares (LS) estimator of the first-order autoregressive (AR) process parameter is given. It is based on the use of the Hurwicz [1] formula for bias.
Keywords :
Autoregressive processes; Least-squares methods; Equations; Gaussian distribution; Parameter estimation; Stochastic processes; Taylor series;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1985.1104081
