Asymptotically exact confidence intervals of cusum and cusumsq tests: a numerical derivation using simulation technique

DOI10.1080/03610919508813291zbMath0850.62653OpenAlexW2045753080MaRDI QIDQ4859895

Hisashi Tanizaki

Publication date: 15 January 1996

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919508813291

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods ⋮ Nonlinear filters based on taylor series expansions^∗ ⋮ Detecting periods in which a time series model fails to predict the observed volatility ⋮ Bias correction of OLSE in the regression model with lagged dependent variables.

Cites Work

• Unnamed Item
• Two Methods for Examining the Stability of Regression Coefficients
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• Tests for serial correlation in regression analysis based on the periodogram of least-squares residuals

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