Simultaneous confidence bands for Yule-Walker estimators and order selection

DOI10.1214/11-AOS963zbMath1246.62187arXiv1205.6644MaRDI QIDQ450047

Moritz Jirak

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

zbMATH Keywords

extreme value distributions; autoregressive processes; AIC; order selection

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F25: Parametric tolerance and confidence regions

62E20: Asymptotic distribution theory in statistics

62F10: Point estimation

Related Items

Predictive, finite-sample model choice for time series under stationarity and non-stationarity, Simultaneous confidence bands for sequential autoregressive fitting, Uniform change point tests in high dimension, A Darling-Erdős type result for stationary ellipsoids

Uses Software

• FitAR

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