A computational algorithm for the coverage probability of a first order autogressive process

DOI10.1080/00949658508810797zbMATH Open0578.62079OpenAlexW1991085593MaRDI QIDQ3700640FDOQ3700640

Authors: Mark C. K. Yang, Pan-Yu Lai 

Publication date: 1985

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658508810797

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zbMATH Keywords

algorithmMarkov processprediction intervalsfirst passage time distributionextreme value distributioncoverage probabilitymultivariate integrationAR(1) time series

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

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• Probability Integrals of Multivariate Normal and Multivariate $t^1$
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• Level-crossing problems for random processes
• Extreme Values in Samples from $m$-Dependent Stationary Stochastic Processes
• Sample extremes: an elementary introduction
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• Conditions for the convergence in distribution of maxima of stationary normal processes
• Asymptotic Independence of the Numbers of High and Low Level Crossings of Stationary Gaussian Processes
• An Error-Bounded Algorithm for Normal Probabilities of Rectangular Regions
• The Distribution of Extreme Values in Samples whose Members are Subject to a Markoff Chain Condition

Cited In (2)

• Coverage probability of a prediction interval for a seasonal AR(1) process
• Bounding the risk probability

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