D. B. Percival (1993), `Three Curious Properties of the Sample Variance and Autocovariance for Stationary Processes with Unknown Mean,' The American Statistician, 47, no. 4, pp. 274-6.
In most books on time series analysis, estimators of the variance and autocovariance for a stationary process are discussed under the assumption that the process mean is known. Here we illustrate that, if the process mean is unknown and hence is estimated by the sample mean, these estimators have some surprising properties.
Biased estimator; Correlation coefficient; Correlation time; Sample mean; Time series analysis
Go to next summary or home page for Don Percival