A MODIFICATION OF THE EDGEWORTH APPROXIMATION IN THE AR(1) MODEL

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题名:	A MODIFICATION OF THE EDGEWORTH APPROXIMATION IN THE AR(1) MODEL
作者:	LIU,SI;SU,CC
贡献者:	統計研究所
日期:	1992
上传时间:	2010-06-29 19:34:35 (UTC+8)
出版者:	中央大學
摘要:	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.
關聯:	BIOMETRICAL JOURNAL
显示于类别:	[統計研究所] 期刊論文

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