| dc.contributor | 統計系 | |
| dc.creator (作者) | Weng, Ruby Chiu-Hsing;Woodroofe, M. | |
| dc.creator (作者) | 翁久幸 | zh_TW |
| dc.date (日期) | 2006-08 | |
| dc.date.accessioned | 21-七月-2015 15:36:14 (UTC+8) | - |
| dc.date.available | 21-七月-2015 15:36:14 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-七月-2015 15:36:14 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/76778 | - |
| dc.description.abstract (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. | |
| dc.format.extent | 277434 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Statistical Planning and Inference, 136(8), 2719-2745 | |
| dc.title (題名) | Approximate confidence sets for a stationary AR(p) process | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.jspi.2004.11.007 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.jspi.2004.11.007 | |
