A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in a Stationary Autoregressive Model
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Publication:2890120
DOI10.1080/03610926.2010.501941zbMath1238.62017OpenAlexW2140330841MaRDI QIDQ2890120
Publication date: 8 June 2012
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2010.501941
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Approximations to statistical distributions (nonasymptotic) (62E17)
Cites Work
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- Half-life estimation based on the bias-corrected bootstrap: a highest density region approach
- Robust tests for spherical symmetry and their application to least squares regression
- Robust tests for spherical symmetry
- Saddle point approximation for the distribution of the sum of independent random variables
- Elliptically Symmetric Distributions: A Review and Bibliography
- Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
- Saddlepoint approximation for the least squares estimator in first-order autoregression
- A SADDLEPOINT APPROXIMATION TO THE DISTRIBUTION FUNCTION OF THE ANDERSON-DARLING TEST STATISTIC
- Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
- Saddlepoint Approximations in Statistics
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