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政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/76778

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/76778

Title:	Approximate confidence sets for a stationary AR(p) process
Authors:	Weng, Ruby Chiu-Hsing;Woodroofe, M. 翁久幸
Contributors:	統計系
Date:	2006-08
Issue Date:	2015-07-21 15:36:14 (UTC+8)
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.
Relation:	Journal of Statistical Planning and Inference, 136(8), 2719-2745
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.jspi.2004.11.007
DOI:	10.1016/j.jspi.2004.11.007
Appears in Collections:	[統計學系] 期刊論文

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