Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/76778
DC Field | Value | Language |
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dc.contributor | 統計系 | |
dc.creator | Weng, Ruby Chiu-Hsing;Woodroofe, M. | |
dc.creator | 翁久幸 | zh_TW |
dc.date | 2006-08 | |
dc.date.accessioned | 2015-07-21T07:36:14Z | - |
dc.date.available | 2015-07-21T07:36:14Z | - |
dc.date.issued | 2015-07-21T07:36:14Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/76778 | - |
dc.description.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 ), 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. | |
dc.format.extent | 277434 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Journal of Statistical Planning and Inference, 136(8), 2719-2745 | |
dc.title | Approximate confidence sets for a stationary AR(p) process | |
dc.type | article | en |
dc.identifier.doi | 10.1016/j.jspi.2004.11.007 | |
dc.doi.uri | http://dx.doi.org/10.1016/j.jspi.2004.11.007 | |
item.grantfulltext | restricted | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.fulltext | With Fulltext | - |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
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2719-2745.pdf | 270.93 kB | Adobe PDF2 | View/Open |
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