Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals

DOI10.1007/s10260-017-0406-yzbMath1427.62097OpenAlexW2764308097MaRDI QIDQ2324269

Ruidong Han, Xinghui Wang, Shuhe Hu

Publication date: 11 September 2019

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-017-0406-y

zbMATH Keywords

confidence intervalsautoregressive modelsinterval estimationempirical likelihoodweighted least squares estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

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