Robust confidence intervals for autoregressive coefficients near one

zbMATH Open1119.62086MaRDI QIDQ5309201FDOQ5309201

Authors: Samuel B. Thompson 

Publication date: 9 October 2007

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Parametric tolerance and confidence regions (62F25) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (4)

• Confidence intervals for autoregressive coefficients near one
• ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
• On Confidence Intervals for Autoregressive Roots and Predictive Regression
• New confidence intervals for the AR(1) parameter

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