Bias-eliminated least-squares estimator for correlated noise case

Abstract

Least-squares (LS) method is the most widely used method for the parameter estimation. However when applying directly the LS method to estimate parameters in presence of correlated noise, the LS method will be an asymptotically biased estimation method and be unable to give consistent estimates. There have been many studies to solve the problem of bias and one of them is bias-eliminated least-squares (BELS) method. In this paper, we examine the property of the BELS method and discuss the equivalence of BELS method and IV method under certain condition.