Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1150707 | Journal of Statistical Planning and Inference | 2006 | 27 Pages |
Abstract
Approximate confidence intervals are derived for the autoregressive parameters of a stationary, Gaussian auto-regressive process of arbitrary order and shown to be asymptotically correct to order o(1/n)o(1/n), where n is the sample size. Simulation studies are included for small and moderate sample sizes for the case of two auto-regressive parameters, and these indicate excellent approximation for sample sizes as small as n=10,20n=10,20. The convergence is in the very weak sense, and the derivation differs from most existing work through its direct focus on Studentized estimation error and its use of Stein's identity.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Ruby C. Weng, Michael Woodroofe,