Corrected confidence intervals for parameters in adaptive linear models

DOI10.1016/J.JSPI.2009.07.014zbMATH Open1177.62038OpenAlexW2036903616MaRDI QIDQ1036732FDOQ1036732

Ruby Chiu-Hsing Weng, Tzee-Ming Huang, Shen-Chien Chen

Publication date: 13 November 2009

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.2009.07.014

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zbMATH Keywords

threshold autoregressive modelconfidence setsvery weak expansions

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric tolerance and confidence regions (62F25)

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• The Stationary Marginal Distribution of a Threshold AR(1) Process
• A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models

Cited In (2)

• Increasing the replicability for linear models via adaptive significance levels
• Adaptive interval estimation in one-way random effects models

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