Simultaneous confidence bands for sequential autoregressive fitting

DOI10.1016/J.JMVA.2013.10.018MaRDI QIDQ392061zbMATH OpenOpenAlexFDO

Authors Moritz Jirak

Publication date 13 January 2014

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2013.10.018

zbMATH Keywords

autoregressive processasymptotic extreme value distributionDurbin-LevinsonYule-Walker estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Simultaneous confidence bands for Yule-Walker estimators and order selection
• Simultaneous confidence bands for autoregressive spectra
• ASYMPTOTIC SIMULTANEOUS CONFIDENCE BANDS FOR AUTOREGRESSIVE SPECTRAL DENSITY
• scientific article; zbMATH DE number 1304746
• Sequential estimation for the parameters of a stationary auto regressive model

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3604162 (Why is no real title available?)
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 2148870 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
• An asymptotic theory for sample covariances of Bernoulli shifts
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Autocorrelation, autoregression and autoregressive approximation
• Banded regularization of autocovariance matrices in application to parameter estimation and forecasting of time series
• Consistent Recursive Estimation of the Order of an Autoregressive Moving Average Process
• Consistent autoregressive spectral estimates
• Covariance matrix estimation for stationary time series
• Estimating the dimension of a model
• Extended Bayesian information criteria for model selection with large model spaces
• Fitting autoregressive models for prediction
• High-dimensional additive modeling
• Invariance principle for stochastic processes with short memory
• Linear prediction by autoregressive model fitting in the time domain
• Model Selection and Multimodel Inference
• Modeling by shortest data description
• Nonasymptotic bounds for autoregressive time series modeling.
• Nonlinear system theory: Another look at dependence
• On a spectral estimate obtained by an autoregressive model fitting
• On same-realization prediction in an infinite-order autoregressive process.
• On the inverses of some patterned matrices arising in the theory of stationary time series
• On the maximum of covariance estimators
• Order selection for same-realization predictions in autoregressive processes
• Parametric or nonparametric? A parametricness index for model selection
• Power spectrum estimation through autoregressive model fitting
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• Selection of the order of an autoregressive model by Akaike's information criterion
• Simple consistent estimation of the coefficients of a linear filter
• Simultaneous confidence bands for Yule-Walker estimators and order selection
• Some recent advances in time series modeling
• Subset Autoregression
• THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
• Time series analysis. Forecasting and control
• Time series: theory and methods.
• Variable selection in nonparametric additive models

Cited in

(7)

• Simultaneous confidence bands for time-series prediction function
• Reducing confidence bands for simulated impulse responses
• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• Simultaneous credible bands for latent Gaussian models
• Predictive, finite-sample model choice for time series under stationarity and non-stationarity
• scientific article; zbMATH DE number 1304746 (Why is no real title available?)
• Simultaneous confidence bands for Yule-Walker estimators and order selection

Describes a project that uses

Uses Software

• hgam
• FitAR

This page was built for publication: Simultaneous confidence bands for sequential autoregressive fitting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q392061)