The distribution of the maximum likelihood estimator of the parameter in the first-order autoregressive series
一阶自回归序列参数的最大似然估计量分布
A method is given for obtaining values of the distribution function of the maximum likelihood estimator of the parameter in the first-order autoregressive series. Although exact results are obtainable in a special case, in general the distribution function involves the approximation of the distribution of a linear combination of chi-squared variates. Two such approximations are compared with simulated results. The method used is valid for any value of the parameter.