A small sample confidence interval for autoregressive parameters

DOI10.1016/J.JSPI.2008.02.001zbMATH Open1146.62065OpenAlexW2102510744MaRDI QIDQ951044FDOQ951044

Authors: Ferebee Tunno, Colin M. Gallagher 

Publication date: 29 October 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.02.001

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• Small-Sample Confidence Intervals
• Confidence intervals for autoregressive coefficients near one

zbMATH Keywords

time seriesinstrumental variablesunit rootlinear trendAR(1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric tolerance and confidence regions (62F25)

Cites Work

• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Bootstrapping unstable first-order autoregressive processes
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• Title not available (Why is that?)
• Confidence intervals for autoregressive coefficients near one
• The Berry-Esseen bound for Student's statistic
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
• The Bias of Autoregressive Coefficient Estimators
• Student's t-Test Under Symmetry Conditions
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Saddlepoint approximation for the least squares estimator in first-order autoregression
• Nonlinear instrumental variable estimation of an autoregression.
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• Test Inversion Bootstrap Confidence Intervals
• Bias in the sample autocorrelations of fractional noise
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL

Cited In (2)

• Practical small sample inference for single lag subset autoregressive models
• A Cauchy estimator test for autocorrelation

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