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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
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.
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- Copyright © Cambridge University Press 1992
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