Approximation for the conditional distribution of the MLE with application to autoregression

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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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Bibliographic Details
Main Author:	Marsh, Patrick
Format:	Article
Published:	Pushpa Publishing House 2014
Subjects:	Ancillary statistic conditional inference p* formula autoregression
Online Access:	https://eprints.nottingham.ac.uk/35903/

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