On best asymptotic confidence intervals for parameters of stochastic processes

DOI10.1214/AOS/1176348545zbMATH Open0745.62027OpenAlexW4240995086MaRDI QIDQ1189616FDOQ1189616

Authors: Christopher C. Heyde 

Publication date: 27 September 1992

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348545

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zbMATH Keywords

asymptotic normalitysimulationlimit lawsnormalizationsnonergodic stochastic processesbest confidence intervalsother asymptotic mixed normalitysize of confidence intervalssteady-state parameters

Mathematics Subject Classification ID

Point estimation (62F10) Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09)

Cited In (6)

• Confidence Interval Estimation for the Variance Parameter of Stationary Processes
• Asymptotic properties of Monte Carlo estimators of diffusion processes
• Title not available (Why is that?)
• Asymptotic ancillarity and conditional inference for stochastic processes
• Approximate confidence sets for a stationary \(AR(p)\) process
• On the confidence intervals of parametric functions for Distributions Generated by Symmetric Stable Laws

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