Improved inference for first-order autocorrelation using likelihood analysis

DOI10.1111/j.1467-9892.2007.00567.xzbMath1199.62016OpenAlexW2071164098MaRDI QIDQ3552836

Ye Sun, Augustine C. M. Wong, Marie Rekkas

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

Related Items (2)

Improved likelihood-based inference for the stationary AR(2) model ⋮ Third-order inference for autocorrelation in nonlinear regression models

Cites Work

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• Modified signed log likelihood ratio
• Saddlepoint expansions for conditional distributions
• Saddle point approximation for the distribution of the sum of independent random variables
• Likelihood for component parameters
• Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood
• Likelihood and higher‐order approximations to tail areas: A review and annotated bibliography
• Estimation of autoregressive parameters from a marginal likelihood function

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