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A Modification of the Edgeworth Approximation in the AR (1) Model
Author(s) -
Liu ShuIng,
Su ChienChou,
ChienChou ShuIng Liu
Publication year - 1992
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/bimj.4710340812
Subject(s) - edgeworth series , estimator , autoregressive model , mathematics , distribution (mathematics) , sampling (signal processing) , sampling distribution , mathematical optimization , statistics , computer science , mathematical analysis , filter (signal processing) , computer vision
This paper considers the sampling distribution problem of the least squares estimator for the parameter of some special autoregressive models. The Edgeworth approximation has been derived and a modification is proposed to improve its accuracy. Comparisons with the exact distribution and the so called Edgeworth‐B approximation have been discussed. The results show that the proposed approximation performs more accurately than the Edgeworth‐B approximation, especially, when models are close to the non‐stationary boundary.