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https://ah.lib.nccu.edu.tw/handle/140.119/76778
題名: | Approximate confidence sets for a stationary AR(p) process | 作者: | Weng, Ruby Chiu-Hsing;Woodroofe, M. 翁久幸 |
貢獻者: | 統計系 | 日期: | Aug-2006 | 上傳時間: | 21-Jul-2015 | 摘要: | 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 ), 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, 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. © 2005 Elsevier B.V. All rights reserved. | 關聯: | Journal of Statistical Planning and Inference, 136(8), 2719-2745 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.jspi.2004.11.007 |
Appears in Collections: | 期刊論文 |
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2719-2745.pdf | 270.93 kB | Adobe PDF2 | View/Open |
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