Multivariate Autoregressive Techniques for Constructing Confidence Regions on the Mean Vector

DOI10.1287/MNSC.39.9.1112zbMATH Open0793.62047OpenAlexW2061964304MaRDI QIDQ4282285FDOQ4282285

Authors: John Charnes, W. David Kelton 

Publication date: 3 August 1994

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.39.9.1112

Recommendations

• Analysing steady-state simulation output using vector autoregressive processes with exogenous variables
• Autoregressive-output-analysis methods revisited
• Multivariate Simulation Output Analysis
• Multivariate Standardized Time Series for Steady-State Simulation Output Analysis
• Confidence Regions for Multipliers in Linear Dynamic Models

zbMATH Keywords

multivariate processesmean vectorsperformance comparisontime-series modelssimulation output analysismultivariate confidence regionsgeneral autoregressive modelnominal coverage probabilityBonferroni batch meansconfidence-region-construction algorithmmultivariate batch meansmultivariate spectral analysisstationary vector autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Parametric tolerance and confidence regions (62F25)

Cited In (4)

• Graphical methods for investigating the finite-sample properties of confidence regions
• Arma-Based Confidence Intervals for Simulation Output Analysis
• Simultaneous Confidence Regions for the Frequency Analysis of Multiple Time Series
• Confidence Regions for Multipliers in Linear Dynamic Models

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