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

被引：0

作者：

Rajarshi, M. B. ^{[1
]}

机构：

[1] Savitribai Phule Pune Univ, Dept Stat, Pune 411007, Maharashtra, India

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2018年 / 47卷 / 01期

关键词：

Confidence bounds; Confidence intervals; Cumulants; Estimating function; Mean; Stationary time series; DEPENDENT DATA; BOOTSTRAP;

D O I：

10.1080/03610926.2017.1300276

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：18 / 27

页数：10

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