ACMUB: Median Unbiased Estimation of the AR(p) Model

Version 1.0.0.0 (3.2 KB) by Thomas Maag
Approximately median unbiased estimation of the AR(p) model following Andrews and Chen (1994).
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Updated 12 Apr 2009

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This function implements approximately median unbiased (MU) estimation of the AR(p) model following Andrews, D.W.K and H.-Y. Chen (1994), "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, 12(2), 187-204.

No toolboxes are required.

Cite As

Thomas Maag (2024). ACMUB: Median Unbiased Estimation of the AR(p) Model (https://www.mathworks.com/matlabcentral/fileexchange/23633-acmub-median-unbiased-estimation-of-the-ar-p-model), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0