Correction for finite sample coefficients in autoregressive model

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Quantopic
Quantopic 2013 年 5 月 2 日
Dear matlab users,
I'm trying to run an autoregressive model with the correction of finite sample coefficients.
The model is based on Shaman & Stine's paper "The bias of autoregressive coefficient estimators".
I didn't find anything about the codes and procedure I have to use on toolboxes.
Does someone knows the codes?
Thanks a lot!

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回答 (1 件)

Shashank Prasanna
Shashank Prasanna 2013 年 5 月 3 日
This is very specialized and a particular domain specific application. Such code most likely live on the File Exchange. If not you may have to implement it on your own. Community members can help you along the way.

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