On Best Asymptotic Confidence Intervals for Parameters of Stochastic Processes
نویسندگان
چکیده
منابع مشابه
Asymptotic confidence intervals for impulse responses of near-integrated processes
Many economic time series are characterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for impulse response functions and half-lives of nearly nonstationary processes. It is based on inverting the acceptance region of the likelihood ratio statistic under a sequence of null hypotheses...
متن کاملOn Confidence Intervals for Cyclic Regenerative Processes *
Recently, Sargent and Shanthikumar [5] developed an interesting new variance reduction technique designed to exploit the stochastic structure associated with a cyclic regenerative process. Our purpose here is to study precise conditions under which the confidence intervals proposed in [5] are asymptotically valid. This analysis will provide us with the side benefit of obtaining an optimal way o...
متن کاملComputation of confidence intervals for Poisson processes
We present an algorithm which allows a fast numerical computation of Feldman-Cousins confidence intervals for Poisson processes, even when the number of background events is relatively large. This algorithm incorporates an appropriate treatment of the singularities that arise as a consequence of the discreteness of the variable.
متن کاملSimultaneous confidence intervals for comparing binomial parameters.
SUMMARY To compare proportions with several independent binomial samples, we recommend a method of constructing simultaneous confidence intervals that uses the studentized range distribution with a score statistic. It applies to a variety of measures, including the difference of proportions, odds ratio, and relative risk. For the odds ratio, a simulation study suggests that the method has cover...
متن کامل[Setting Confidence Intervals for Bounded Parameters]: Comment
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1992
ISSN: 0090-5364
DOI: 10.1214/aos/1176348545