haku: @author Kelton, W. / yhteensä: 2
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| Tekijä: | Charnes, J. Kelton, W. |
| Otsikko: | Multivariate autoregressive techniques for constructing confidence regions on the mean vector |
| Lehti: | Management Science
1993 : SEP, VOL. 39:9, p. 1112-1129 |
| Asiasana: | SIMULATION TIME SERIES MODELS |
| Kieli: | eng |
| Tiivistelmä: | The authors develop a method for constructing confidence regions on the mean vectors of multivariate processes that is based on a vector autoregressive (VAR) representation of the data-generating process. A confidence-region-construction algorithm for a general autoregressive model is given. The authors establish the asymptotic validity of the confidence-region estimator (that is, the exact achievement of nominal coverage probability as the sample size tends to infinity) when the output process is stationary vector autoregressive process of known, finite order. |
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