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)

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Cited in

(7)

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

Describes a project that uses

Uses Software

• FitAR
• hgam

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