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

DOI10.1080/03610919508813291MaRDI QIDQ4859895zbMATH OpenOpenAlexFDO

Authors 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

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

Cites work

• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• scientific article; zbMATH DE number 3727458 (Why is no real title available?)
• Tests for serial correlation in regression analysis based on the periodogram of least-squares residuals
• Two Methods for Examining the Stability of Regression Coefficients

Cited in

(4)

• 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.
• Nonlinear filters based on taylor series expansions^∗
• On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods

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