Approximate confidence sets for a stationary \(AR(p)\) process

DOI10.1016/j.jspi.2004.11.007zbMath1090.62099MaRDI QIDQ2495839

Michael B. Woodroofe, Ruby Chiu-Hsing Weng

Publication date: 30 June 2006

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.2004.11.007

zbMATH Keywords

asymptotic expansions; asymptotic confidence levels; stationary autoregressive process; very weak expansions

Mathematics Subject Classification ID

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

62F25: Parametric tolerance and confidence regions

62E20: Asymptotic distribution theory in statistics

Related Items

Corrected confidence intervals for parameters in adaptive linear models

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