The Kolmogorov-Smirnov distance as criterion of choice of estimators with application to the first order auto-regressive case : a Monte Carlo study
RAIRO - Operations Research - Recherche Opérationnelle (1984)
- Volume: 18, Issue: 3, page 297-307
- ISSN: 0399-0559
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topTruong, Thuan V.. "The Kolmogorov-Smirnov distance as criterion of choice of estimators with application to the first order auto-regressive case : a Monte Carlo study." RAIRO - Operations Research - Recherche Opérationnelle 18.3 (1984): 297-307. <http://eudml.org/doc/104859>.
@article{Truong1984,
author = {Truong, Thuan V.},
journal = {RAIRO - Operations Research - Recherche Opérationnelle},
keywords = {Kolmogorov-Smirnov distance; choice of estimators; first-order autoregressive process; ordinary least squares; Cochrane-Orcutt; Durbin; maximum likelihood; asymptotic distribution},
language = {eng},
number = {3},
pages = {297-307},
publisher = {EDP-Sciences},
title = {The Kolmogorov-Smirnov distance as criterion of choice of estimators with application to the first order auto-regressive case : a Monte Carlo study},
url = {http://eudml.org/doc/104859},
volume = {18},
year = {1984},
}
TY - JOUR
AU - Truong, Thuan V.
TI - The Kolmogorov-Smirnov distance as criterion of choice of estimators with application to the first order auto-regressive case : a Monte Carlo study
JO - RAIRO - Operations Research - Recherche Opérationnelle
PY - 1984
PB - EDP-Sciences
VL - 18
IS - 3
SP - 297
EP - 307
LA - eng
KW - Kolmogorov-Smirnov distance; choice of estimators; first-order autoregressive process; ordinary least squares; Cochrane-Orcutt; Durbin; maximum likelihood; asymptotic distribution
UR - http://eudml.org/doc/104859
ER -
References
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- 2. S. M. ALI and S. D. SILVEY, General Class of Coefficients of Divergence of One Distribution from Another, The Journal of Royal Statistical Society, Sr. B, Vol.58, 1966, pp.131-142. Zbl0203.19902MR196777
- 3. C. M. BEACH and J. G. MACKINNON, A Maximum Likelihood Procedure for Regression with Autocorrelated Errors, Econometrica, Vol. 46, No. 1, 1978, pp. 51-58. Zbl0373.62055MR464518
- 4. J. DURBIN, Estimation of Parameters in Time-Series Regression Models, The Journal of Royal Statistical Society, Sr.B, Vol. 22, 1960, pp.139-153. Zbl0100.14601MR121950
- 5. L. RAO and Z. GRILICHES, Small-Samples Properties of Several Two-Stage Regression Methods in the Context of Autocorrelated Errors, Journal of the American Statistical Association, Vol. 64, 1969, pp. 253-272.
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