Approximation for the conditional distribution of the MLE with application to autoregression

zbMATH Open1307.62035MaRDI QIDQ5177474FDOQ5177474

Authors Patrick Marsh 

Publication date 12 March 2015

Full work available at URL http://www.pphmj.com/abstract/8697.htm

zbMATH Keywords

ancillary statisticautoregressionconditional inference\(p^*\) formula

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cited in

(8)

• Improving the convergence rate in conditional autoregressive models
• On a distributional bound arising in autoregressive model fitting
• On a formula for the distribution of the maximum likelihood estimator
• ОБ АЛГОРИТМИЧЕСКИХ ПРОБЛЕМАХ В ГРУППАХ КОКСТЕРА
• Approximate conditional inference for location familles
• P-values based on approximate conditioning and \(p^{*}\)
• The likelihood ratio approximation to the conditional distribution of the maximum likelihood estimator in the discrete case
• Maximum likelihood estimation of order m for stationary stochastic processes

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