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)

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