Simultaneous confidence bands for Yule–Walker estimators and order selection
نویسندگان
چکیده
منابع مشابه
Simultaneous Confidence Bands for Yule–walker Estimators and Order Selection by Moritz Jirak
Let {Xk, k ∈ Z} be an autoregressive process of order q. Various estimators for the order q and the parameters q = (θ1, . . . , θq) are known; the order is usually determined with Akaike’s criterion or related modifications, whereas Yule–Walker, Burger or maximum likelihood estimators are used for the parameters q . In this paper, we establish simultaneous confidence bands for the Yule–Walker e...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2012
ISSN: 0090-5364
DOI: 10.1214/11-aos963