Asymptotic Theory and Unified Confidence Region for an Autoregressive Model

DOI10.1111/jtsa.12418zbMath1416.62507OpenAlexW2880617405MaRDI QIDQ3120660

Xiao Hui Liu, Liang Peng

Publication date: 5 March 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12418

zbMATH Keywords

autoregressive modelempirical likelihoodfinite sample performanceunified confidence region

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

Related Items (3)

A unit root test for an AR(1) process with AR errors by using random weighted bootstrap ⋮ Testing for explosive bubbles: a review ⋮ Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model

Uses Software

• R

Cites Work

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