Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/129346
Title: Exact distributions, density functions and moments of the last squares estimator in a first-order autoregressive model
Authors: Tsui, A.K. 
Ali, M.M.
Keywords: Distribution function
Joint characteristic functions
Moments
Trigonometric function
Issue Date: May-1994
Source: Tsui, A.K., Ali, M.M. (1994-05). Exact distributions, density functions and moments of the last squares estimator in a first-order autoregressive model. Computational Statistics and Data Analysis 17 (4) : 433-454. ScholarBank@NUS Repository.
Abstract: This paper investigates the finite sample distributions of the least squares estimator in a first order autoregressive model. Distributions of the least squares estimator ø̂ are computed numerically from an alternative approach for both stationary and nonstationary cases. Convenient expressions are also obtained to compute the density functions and moments of the least squares estimator ø̂. It is found that the limiting distributions of ø̂ are inadequate approximations to the exact distributions. © 1994.
Source Title: Computational Statistics and Data Analysis
URI: http://scholarbank.nus.edu.sg/handle/10635/129346
ISSN: 01679473
Appears in Collections:Staff Publications

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