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http://dx.doi.org/10.5351/KJAS.2007.20.1.103

Small Sample Asymptotic Inferences for Autoregressive Coefficients via Saddlepoint Approximation  

Na, Jong-Hwa (Dept. of Information and Statistics & Institute for Basic Science Research, Chungbuk National University)
Kim, Jeong-Sook (Information & Communication Dept., Health Insurance)
Publication Information
The Korean Journal of Applied Statistics / v.20, no.1, 2007 , pp. 103-115 More about this Journal
Abstract
In this paper we studied the small sample asymptotic inference for the autoregressive coefficient in AR(1) model. Based on saddlepoint approximations to the distribution of quadratic forms, we suggest a new approximation to the distribution of the estimators of the noncircular autoregressive coefficients. Simulation results show that the suggested methods are very accurate even in the small sample sizes and extreme tail area.
Keywords
Autoregressive coefficient; Edgeworth approximation; saddlepoint approximation; quadratic form;
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Times Cited By KSCI : 1  (Citation Analysis)
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