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通过限制极大似然降低时间序列回归中自回归估计的偏差AI 解读

This article considers maximum likelihood (ML) and restricted maximum likelihood (REML) estimation of time series regression models with autoregressive AR(p) noise. Approximate biases of the ML and REML estimators of the AR parameters, based on their approximate representations, are derived. In addition, a bias result for the ML estimator (MLE) of the error variance is established. Numerical results are presented to illustrate the biases of the MLE and REML estimator for the…

通过限制极大似然减少时间序列回归中自回归估计的偏差AI 解读

This article considers maximum likelihood (ML) and restricted maximum likelihood (REML) estimation of time series regression models with autoregressive AR(p) noise. Approximate biases of the ML and REML estimators of the AR parameters, based on their approximate representations, are derived. In addition, a bias result for the ML estimator (MLE) of the error variance is established. Numerical results are presented to illustrate the biases of the MLE and REML estimator for the…