Simultaneous confidence bands for sequential autoregressive fitting

DOI10.1016/j.jmva.2013.10.018zbMath1360.62459OpenAlexW2081994265MaRDI QIDQ392061

Moritz Jirak

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.10.018

zbMATH Keywords

autoregressive processasymptotic extreme value distributionDurbin-LevinsonYule-Walker estimators

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Predictive, finite-sample model choice for time series under stationarity and non-stationarity

Uses Software

• FitAR
• hgam

Cites Work

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