Abstract
The paper provides an exact formula for the bias of the parameter estimator of the first order autoregressive process and derives the asymptotic bias.
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Le Breton, A., Pham, D.T. On the bias of the least squares estimator for the first order autoregressive process. Ann Inst Stat Math 41, 555–563 (1989). https://doi.org/10.1007/BF00050668
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DOI: https://doi.org/10.1007/BF00050668