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/ |
| _version_ | 1848795187161071616 |
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| author | Marsh, Patrick |
| author_facet | Marsh, Patrick |
| author_sort | Marsh, Patrick |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 approximate ancillaries. Applied to the class of autoregressive models a case for conditional inference is made and the accuracy of the resulting approximation is demonstrated numerically. |
| first_indexed | 2025-11-14T19:28:06Z |
| format | Article |
| id | nottingham-35903 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:28:06Z |
| publishDate | 2014 |
| publisher | Pushpa Publishing House |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-359032020-05-04T16:54:53Z https://eprints.nottingham.ac.uk/35903/ Approximation for the conditional distribution of the MLE with application to autoregression Marsh, Patrick 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 approximate ancillaries. Applied to the class of autoregressive models a case for conditional inference is made and the accuracy of the resulting approximation is demonstrated numerically. Pushpa Publishing House 2014-11-01 Article PeerReviewed Marsh, Patrick (2014) Approximation for the conditional distribution of the MLE with application to autoregression. Advances and Applications in Statistics, 42 (1). pp. 15-32. ISSN 0972-3617 Ancillary statistic conditional inference p* formula autoregression http://www.pphmj.com/journals/adas.htm |
| spellingShingle | Ancillary statistic conditional inference p* formula autoregression Marsh, Patrick Approximation for the conditional distribution of the MLE with application to autoregression |
| title | Approximation for the conditional distribution of the MLE with application to autoregression |
| title_full | Approximation for the conditional distribution of the MLE with application to autoregression |
| title_fullStr | Approximation for the conditional distribution of the MLE with application to autoregression |
| title_full_unstemmed | Approximation for the conditional distribution of the MLE with application to autoregression |
| title_short | Approximation for the conditional distribution of the MLE with application to autoregression |
| title_sort | approximation for the conditional distribution of the mle with application to autoregression |
| topic | Ancillary statistic conditional inference p* formula autoregression |
| url | https://eprints.nottingham.ac.uk/35903/ https://eprints.nottingham.ac.uk/35903/ |