CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL

DOI10.1111/j.1467-9892.1995.tb00233.xzbMath0819.62071OpenAlexW2005456597MaRDI QIDQ4837789

K. H. Wu, David C. Hamilton

Publication date: 30 August 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00233.x

zbMATH Keywords

likelihood ratiomaximum likelihood estimatessimulation studyARMA modellarge sample distributionsscore statisticsapproximate joint and marginal confidence regionscoverage propertiesfirst- order autoregressive time series model

Mathematics Subject Classification ID

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

Related Items (1)

PROFILE SUMMARIES FOR ARIMA TIME SERIES MODEL PARAMETERS

Cites Work

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• Finite sample properties of estimators for autoregressive moving average models
• A Monte Carlo study of autoregressive integrated moving average processes
• The exact moments of the least squares estimator for the autoregressive model
• A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
• Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean
• Confidence regions for parameter subsets in nonlinear regression
• Approximations to the distribution of the least squares estimator in a first order stationary autoregressive model
• PROFILE SUMMARIES FOR ARIMA TIME SERIES MODEL PARAMETERS

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