Simultaneous confidence bands for Yule-Walker estimators and order selection
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Publication:450047
DOI10.1214/11-AOS963zbMath1246.62187arXiv1205.6644OpenAlexW3103128875MaRDI QIDQ450047
Publication date: 3 September 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.6644
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)
Related Items (4)
Simultaneous confidence bands for sequential autoregressive fitting ⋮ Uniform change point tests in high dimension ⋮ A Darling-Erdős type result for stationary ellipsoids ⋮ Predictive, finite-sample model choice for time series under stationarity and non-stationarity
Uses Software
Cites Work
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