Improved inference for first-order autocorrelation using likelihood analysis

DOI10.1111/J.1467-9892.2007.00567.XMaRDI QIDQ3552836zbMATH OpenOpenAlexFDO

Authors Ye Sun, Marie Rekkas, Augustine Wong

Publication date 22 April 2010

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2007.00567.x

zbMATH Keywords

p-values

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A small-sample correction for testing for \(g\)th-order serial correlation with artificial regressions
• Approximate ML and REML estimation for regression models with spatial or time series AR(1) noise.
• Approximations of marginal tail probabilities and inference for scalar parameters
• Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood
• Estimation of autoregressive parameters from a marginal likelihood function
• scientific article; zbMATH DE number 4128271 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Likelihood and higher‐order approximations to tail areas: A review and annotated bibliography
• Likelihood for component parameters
• Likelihood methods in statistics
• Modified signed log likelihood ratio
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint expansions for conditional distributions

Cited in

(6)

• Third-order inference for autocorrelation in nonlinear regression models
• scientific article; zbMATH DE number 4005394 (Why is no real title available?)
• Regression with autoregressive errors-some asymptotic results
• scientific article; zbMATH DE number 806892 (Why is no real title available?)
• Higher-order inference for nonlinear Birnbaum-Saunders regressions
• Improved likelihood-based inference for the stationary AR(2) model

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