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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/27835


    Title: A MODIFICATION OF THE EDGEWORTH APPROXIMATION IN THE AR(1) MODEL
    Authors: LIU,SI;SU,CC
    Contributors: 統計研究所
    Date: 1992
    Issue Date: 2010-06-29 19:34:35 (UTC+8)
    Publisher: 中央大學
    Abstract: This paper considers the sampling distribution problem of the least squares estimator for the parameter of some special autoregressive models. The Edgeworth approximation has been derived and a modification is proposed to improve its accuracy. Comparisons with the exact distribution and the so called Edgeworth-B approximation have been discussed. The results show that the proposed approximation performs more accurately than the Edgeworth-B approximation, especially, when models are close to the non-stationary boundary.
    Relation: BIOMETRICAL JOURNAL
    Appears in Collections:[統計研究所] 期刊論文

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