Fixed size confidence regions for parameters of threshold AR(1) models
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Publication:5945260
DOI10.1016/S0378-3758(00)00246-9zbMath1015.62086MaRDI QIDQ5945260
Publication date: 10 October 2001
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
ergodicityuniform integrabilityasymptotic efficiencyasymptotic consistencyfixed size confidence ellipsoidsstopping rulesTAR models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Sequential estimation (62L12)
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Unnamed Item, Unnamed Item, Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises, On sequential confidence estimation of parameters of stochastic dynamical systems with conditionally Gaussian noises, Editor's Special Invited Paper: Sequential Estimation for Time Series Models, Fixed-width confidence interval based on a minimum Hellinger distance estimator, Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure
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