A time series illustration of approximate conditional likelihood

DOI10.1093/BIOMET/76.2.231zbMath0666.62090OpenAlexW2026814525MaRDI QIDQ3817483

A. M. Cruddas, Nancy Reid, David R. Cox

Publication date: 1989

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/76.2.231

zbMATH Keywords

asymptotic propertiesSimulationsmarginal likelihoodapproximate conditional likelihoodconsistent estimationorthogonal parameterscorrelation parameterstandardized residualscalculation of confidence intervalsshort Gaussian first-order autoregressive processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Monte Carlo methods (65C05)

Related Items (18)

Minimum message length analysis of multiple short time series ⋮ AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD ⋮ Bias correction for a class of multivariate nonlinear regression models ⋮ Recursive mean adjustment for panel unit root tests ⋮ Evidence for conformal invariance of crop yields ⋮ Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend ⋮ LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS ⋮ Integrated likelihood methods for eliminating nuisance parameters. (With comments and a rejoinder). ⋮ Tests and diagnostics for heterogeneity in the species problem ⋮ Statistical properties of the single linkage hierarchical clustering estimator ⋮ Estimating generalized semiparametric additive models using parameter cascading ⋮ Marginal likelihood for parallel series ⋮ The restricted likelihood ratio test at the boundary in autoregressive series ⋮ An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models. ⋮ On the stability of maximum‐likelihood estimators of orthogonal parameters ⋮ Adjusted estimates and Wald statistics for the AR(1) model with constant ⋮ Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments ⋮ Modified Profile Likelihood for Fixed-Effects Panel Data Models

This page was built for publication: A time series illustration of approximate conditional likelihood