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

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:	[Graduate Institute of Statistics] journal & Dissertation

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