Comparison of pivotals for confidence bounds and intervals for the mean of a stationary time series

M. B. Rajarshi

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 1, 18-27

Abstract: We construct new pivotals to obtain confidence bounds and confidence intervals for the mean of a stationary process. These follow the approach based on estimating functions. The new pivotals are compared with the standard pivotal based on studentization. We study the first four cumulants of each of these pivotals and explain why the pivotals based on the estimating function approach result in better coverage probabilities. Some simulation results comparing these pivotals have been reported.

Date: 2018
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DOI: 10.1080/03610926.2017.1300276

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