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Correction Of Bias In Estimating Autocovariance Function, Len-Hong Wu
Correction Of Bias In Estimating Autocovariance Function, Len-Hong Wu
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
The purpose of this thesis was to evaluate a method for reducing the bias of estimation for autocovariance estimators. Two methods are compared, one is the standard method and the other is an adjustment method. The Monte Carlo method is used within comparison.
The bias and the mean squared error of the estimated autocovariance is computed for several time series models and two variations of the adjustment method of estimation. The results indicate some improvement in bias and mean squared error for the new method.