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A Median‐Unbiased Estimator of the AR(1) Coefficient
Author(s) -
Zielinski Ryszard
Publication year - 1999
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00150
Subject(s) - mathematics , autoregressive model , estimator , statistics , minimum variance unbiased estimator , bias of an estimator , u statistic , unbiased estimation , best linear unbiased prediction , combinatorics , selection (genetic algorithm) , artificial intelligence , computer science
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.
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