I remember reading that, when estimating the autocorrelation function of a univariate ARMA time series using finite samples, the estimate is biased and specifically the lag-1 ACF is negatively biased in the case of iid observations. However, I can't recall the source and I am therefore not sure this statement is true. Does anyone know whether this is true or not? Thanks.
I believe this might have been in Jenkins book on Spectral Analysis http://www.alibris.com/search/books/qwork/6258396/used/Spectral%20analysis%20and%20its%20applications