Simultaneous confidence bands for Yule-Walker estimators and order selection

DOI10.1214/11-AOS963MaRDI QIDQ450047zbMATH OpenOpenAlexFDO

Authors 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, https://projecteuclid.org/euclid.aos/1336396181

zbMATH Keywords

AICautoregressive processesorder selectionextreme value distributions

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric tolerance and confidence regions (62F25)

Abstract: Let $X_k,kinmathbbZ$ be an autoregressive process of order $q$. Various estimators for the order $q$ and the parameters $$ are known; the order is usually determined with Akaike's criterion or related modifications, whereas Yule-Walker, Burger or maximum likelihood estimators are used for the parameters $$. In this paper, we establish simultaneous confidence bands for the Yule--Walker estimators $hat{heta}_i$; more precisely, it is shown that the limiting distribution of $ma{x}_{1leqileq{d}_n}|hat{heta}_i-het{a}_i|$ is the Gumbel-type distribution $e^{-e^{-z}}$, where $qin0,\mathrm{...},d_n$ and $d_n=mathcalO(n^{delta})$, $delta>0$. This allows to modify some of the currently used criteria (AIC, BIC, HQC, SIC), but also yields a new class of consistent estimators for the order $q$. These estimators seem to have some potential, since they outperform most of the previously mentioned criteria in a small simulation study. In particular, if some of the parameters ${het{a}_i}_{1leqileq{d}_n}$ are zero or close to zero, a significant improvement can be observed. As a byproduct, it is shown that BIC, HQC and SIC are consistent for $qin0,\mathrm{...},d_n$ where $d_n=mathcalO(n^{delta})$.

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Cited in

(5)

• Uniform change point tests in high dimension
• A Darling-Erdős type result for stationary ellipsoids
• Consistency of averaged impulse response estimators in vector autoregressive models
• Simultaneous confidence bands for sequential autoregressive fitting
• Predictive, finite-sample model choice for time series under stationarity and non-stationarity

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• FitAR

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