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政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/71478

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71478

Title:	Corrected Confidence Intervals for Parameters in Adaptive Linear Models
Authors:	Chen,Shen-Chien;Weng,Ruby C;Huang,Tzeeming
Contributors:	統計系
Date:	2010-01
Issue Date:	2014-11-14 17:58:58 (UTC+8)
Abstract:	Consider an adaptive linear model , where xt=(xt1,…,xtp)′ may depend on previous responses. Woodroofe and Coad [1999. Corrected confidence sets for sequentially designed experiments: examples. In: Ghosh, S. (Ed.), Multivariate Analysis, Design of Experiments, and Survey Sampling. Marcel Dekker, Inc., New York, pp. 135–161] derived very weak asymptotic expansions for the distributions of an appropriate pivotal quantity and constructed corrected confidence sets for θ, where the correction terms involve the limit of (as n approaches infinity) and its derivatives with respect to θ. However, the analytic form of this limit and its derivatives may not be tractable in some models. This paper proposes a numerical method to approximate the correction terms. For the resulting approximate pivot, we show that under mild conditions the error induced by numerical approximation is op(1/n). Then, we assess the accuracy of the proposed method by an autoregressive model and a threshold autoregressive model.
Relation:	Journal of Statistical Planning and Inference,140(1),297-309
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.jspi.2009.07.014
DOI:	10.1016/j.jspi.2009.07.014
Appears in Collections:	[統計學系] 期刊論文

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