Document Type
Discussion Paper
Publication Date
3-1-1978
CFDP Number
487
CFDP Pages
14
Abstract
In approximating the small sample distribution of the least squares estimator of the coefficient in a non-circular autoregression the saddlepoint method is complicated by the presence of a branch point of the integrand within the natural contour of integration. Some new approximations are given based on a contour looping around the branch point; and a uniform approximation which is valid as the saddlepoint crosses branch point is also developed.
Recommended Citation
Phillips, Peter C.B., "A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression" (1978). Cowles Foundation Discussion Papers. 720.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/720