Approximation for the conditional distribution of the MLE with application to autoregression
The famous p* formula provides a higher-order approximation for the conditional distribution of the maximum likelihood estimator given an exact ancillary. By collating well known existing results including application of a formal higher-order expansion the formula is generalized for the case of appr...
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| Format: | Article |
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Pushpa Publishing House
2014
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| Online Access: | https://eprints.nottingham.ac.uk/35903/ |