Title

A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression

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.

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