On Residual Variance Estimation in Autoregressive Models

• 1 March 1998
• journal article
• Published by Wiley in Journal of Time Series Analysis
• Vol. 19  (2) , 187-208
• https://doi.org/10.1111/1467-9892.00085

Abstract

Keywords

• AR MODELS
• BIAS
• LEAST SQUARES ESTIMATOR
• MAXIMUM LIKELIHOOD ESTIMATOR
• MOMENT ESTIMATOR
• RESIDUAL VARIANCE
• TIME SERIES