Tail probability approximations in the first-order noncircular autoregression /

A saddlepoint expansion is derived for the cumulative distribution function of the least squares estimator of the autoregressive coefficient. The new method is shown to be superior both analytically and numerically to many existing approximations. Unlike other methods the new approximation performs...

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Bibliographic Details

Main Author:	Wang, Suojin (Author)
Format:	Book
Language:	English
Published:	College Station, Texas : Department of Statistics, Texas A & M University, 1991.
Series:	Technical report (Texas A & M University. Department of Statistics) ; no. 139.
Subjects:	Method of steepest descent (Numerical analysis) Least squares. Autoregression (Statistics) Regression analysis. Mathematical statistics.