Improved likelihood-based inference for the stationary AR(2) model

DOI10.1016/j.jspi.2010.02.005zbMath1184.62150OpenAlexW1977742585MaRDI QIDQ963904

Augustine C. M. Wong, Fang Chang

Publication date: 14 April 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.02.005

zbMATH Keywords

maximum likelihood estimatorautoregressive modelcanonical parametersigned log-likelihood ratio statistic\(p\)-value functionLugannani and Rice formula

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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A penalized likelihood approach to parameter estimation with integral reliability constraints ⋮ Third-order likelihood-based inference for the log-normal regression model ⋮ Improved inference for moving average disturbances in nonlinear regression models ⋮ Third-order inference for autocorrelation in nonlinear regression models

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