Interval estimation for a first-order positive autoregressive process

DOI10.1111/JTSA.12297zbMATH Open1395.62268OpenAlexW2789937567WikidataQ130113743 ScholiaQ130113743MaRDI QIDQ4640231FDOQ4640231

Authors: Wei-Cheng Hsiao, Hao-Yun Huang, Ching-Kang Ing 

Publication date: 16 May 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12297

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zbMATH Keywords

confidence intervalsextreme-value estimatespositive autoregressive processesregular variation indices

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25)

Cited In (3)

• Irregular nonparametric autoregression
• Estimating function method for nonnegative autoregressive models
• Estimation for autoregressive processes with positive innovations

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