Approximation for the conditional distribution of the MLE with application to autoregression
(2014)
Journal Article
Marsh, P. (in press). Approximation for the conditional distribution of the MLE with application to autoregression. Advances and applications in statistics, 42(1),
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 expansi... Read More about Approximation for the conditional distribution of the MLE with application to autoregression.