Saddlepoint approximation for the least squares estimator in first-order autoregression

DOI10.1093/biomet/81.4.807zbMath0825.62670OpenAlexW1971491062MaRDI QIDQ4323547

Offer Lieberman

Publication date: 22 February 1995

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/81.4.807

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Uses Software

• SHAZAM