Approximate confidence sets for a stationary \(AR(p)\) process

DOI10.1016/j.jspi.2004.11.007zbMath1090.62099OpenAlexW2024181719MaRDI QIDQ2495839

Michael B. Woodroofe, Ruby Chiu-Hsing Weng

Publication date: 30 June 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.11.007

zbMATH Keywords

asymptotic expansionsasymptotic confidence levelsstationary autoregressive processvery weak expansions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Asymptotic distribution theory in statistics (62E20)

Related Items (2)

Expansions for multivariate densities ⋮ Corrected confidence intervals for parameters in adaptive linear models

Cites Work

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• Very weak expansions for sequential confidence levels
• Estimation of the mean of a multivariate normal distribution
• Time series: theory and methods.
• Probability matching priors: Higher order asymptotics
• Very weak expansions for sequentially designed experiments: Linear models
• Approximate bias calculations for sequentially designed experiments
• CORRECTED CONFIDENCE SETS FOR SEQUENTIALLY DESIGNED EXPERIMENTS: EXAMPLES1*
• On the Statistical Treatment of Linear Stochastic Difference Equations
• On Stochastic Limit and Order Relationships

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