scientific article; zbMATH DE number 4211329

MaRDI QIDQ3358099zbMATH OpenFDO

Authors Alberto Holly, Georg Michael Rockinger

Publication date 1988

zbMATH Keywords

finite-sample distribution of the t statisticstationary first-order autoregressive model with no intercept

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Approximations to statistical distributions (nonasymptotic) (62E17) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• The Student's t Approximation in a Stationary First Order Autoregressive Model
• Testing the autoregressive parameter with the t statistic
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
• scientific article; zbMATH DE number 3930129

Cited in

(2)

• scientific article; zbMATH DE number 3930129 (Why is no real title available?)
• The Student's t Approximation in a Stationary First Order Autoregressive Model

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