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On the Best Unbiased Estimate for the Mean of a Short Autoregressive Time Series

Published online by Cambridge University Press:  18 October 2010

Tuan Dinh Pham  and
Lanh Tat Tran
Tuan Dinh Pham
Affiliation:
University of Grenoble
Lanh Tat Tran
Affiliation:
Indiana University, Bloomington
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Abstract

A simple formula for computing the best linear unbiased estimate of the mean of an autoregressive process as well as its variance is given. Numerical results show that the estimate can have much lower variance than that of the usual sample mean.

Type
Miscellanea
Information
Econometric Theory , Volume 8 , Issue 1 , March 1992 , pp. 120 - 126
Copyright
Copyright © Cambridge University Press 1992

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References

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