Multivariate Autoregressive Techniques for Constructing Confidence Regions on the Mean Vector

DOI10.1287/MNSC.39.9.1112MaRDI QIDQ4282285zbMATH OpenOpenAlexFDO

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

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)

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

Cited in

(4)

• Confidence Regions for Multipliers in Linear Dynamic Models
• 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

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