CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL

David Hamilton and Ka Ho Wu

Journal of Time Series Analysis, 1995, vol. 16, issue 3, 249-265

Abstract: Abstract. The construction of approximate joint and marginal confidence regions for parameters in the first‐order autoregressive time series model is discussed. These regions are based on the large sample distributions of the likelihood ratio (and approximations to it), of the maximum likelihood estimates and of the score statistics. All these approaches are illustrated using a well‐known example from Box and Jenkins (Time Series Analysis:Forecasting and Control, revised edn. San Francisco:Holden Day, 1976) and some simulated series. In addition, a simulation study is provided for comparing the coverage properties of the various procedures.

Date: 1995
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https://doi.org/10.1111/j.1467-9892.1995.tb00233.x

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