Calculating the Distribution of the Serial Correlation Estimator by Saddlepoint Integration
用鞍点积分计算序列相关估计量的分布
The efficient method of numerical saddlepoint integration is described and applied to calculating the probability distribution of the maximum likelihood and Yule-Walker estimators of the correlation coefficient a of a first-order autoregressive normal time series with initial value either zero or nonzero when a finite number n of data are at hand. Stationary time series of the same type are also treated. Significance points are computed in a number of examples to show how,…