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- W1998604293 abstract "SUMMARY The finite sample behaviour of the score function in a first-order autoregression is investigated. An object is to interpret the transition of the distribution of the score when the model approaches a nonstationary situation with a unit root. A framework is presented wherein the nonnormality of the score is clearly seen. Also, a simple interpretation for the behaviour of the distribution in terms of two chi-squared variables is given. Approximate finite sample distributions for practical use are also proposed." @default.
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- W1998604293 title "Parameter inference for a nearly nonstationary first-order autoregressive model" @default.
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- W1998604293 doi "https://doi.org/10.1093/biomet/71.2.263" @default.
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