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近似条件似然的一个时间序列例证AI 解读

We consider the calculation of confidence intervals for the correlation parameter, based on observations of a large number of short Gaussian first-order autoregressive processes with different means but common correlation and variance. Ordinary profile likelihood gives very misleading answers. The approximate conditional likelihood of Cox & Reid (1987) is calculated and shown to lead to consistent estimation of the correlation. Simulations verify that the usual asymptotic…

近似条件似然的一个时间序列示例AI 解读

We consider the calculation of confidence intervals for the correlation parameter, based on observations of a large number of short Gaussian first-order autoregressive processes with different means but common correlation and variance. Ordinary profile likelihood gives very misleading answers. The approximate conditional likelihood of Cox & Reid (1987) is calculated and shown to lead to consistent estimation of the correlation. Simulations verify that the usual asymptotic…