Autoregressive-output-analysis methods revisited

DOI10.1007/BF02136836zbMath0817.62075MaRDI QIDQ1805485

Mingjian Yuan, Barry L. Nelson

Publication date: 3 July 1995

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

time series; confidence interval; strong consistency; degrees of freedom; order estimator; asymptotically valid confidence-interval procedure; autoregressive order; autoregressive-output-analysis method; predictive least-squares criterion; steady-state mean of a simulated process

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F25: Parametric tolerance and confidence regions

62Q05: Statistical tables

65C99: Probabilistic methods, stochastic differential equations

Related Items

Estimating the steady-state mean from short transient simulations, Confidence intervals for the difference between normal means with known coefficients of variation

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