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Thuan V. Truong

The Kolmogorov-Smirnov distance as criterion of choice of estimators with application to the first order auto-regressive case: A Monte Carlo study. (English) Zbl 0549.62080

RAIRO, Rech. Opér. 18, 297-307 (1984).

MSC:

62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05 Monte Carlo methods

Keywords:

Kolmogorov-Smirnov distance; choice of estimators; first-order autoregressive process; ordinary least squares; Cochrane-Orcutt; Durbin; maximum likelihood; asymptotic distribution
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Full Text: DOI EuDML