Uniform interval estimation for an AR(1) process with AR errors

DOI10.5705/SS.2014.252MaRDI QIDQ3465096zbMATH OpenOpenAlexFDO

Authors

Publication date 28 January 2016

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.2014.252

zbMATH Keywords

empirical likelihoodweighted scorejackknife empirical likelihood methodAR model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Non-Markovian processes: estimation (62M09)

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Cited in

(10)

• An empirical likelihood-based unified test for the integer-valued AR(1) models
• A test for strict stationarity in a random coefficient autoregressive model of order 1
• Testing for strict stationarity in a random coefficient autoregressive model
• Towards a unified test for the intercept of autoregressive models
• Testing the predictability of U.S. housing price index returns based on an IVX-AR model
• Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
• Unified interval estimation for random coefficient autoregressive models
• Asymptotic theory and unified confidence region for an autoregressive model
• Limit theory for an AR(1) model with intercept and a possible infinite variance
• Empirical likelihood-based unified confidence region for a predictive regression model

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