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Inference for non‐stationary time‐series autoregression
Author(s) -
Zhou Zhou
Publication year - 2013
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/jtsa.12028
Subject(s) - autoregressive model , series (stratigraphy) , inference , mathematics , time series , order of integration (calculus) , econometrics , statistics , algorithm , computer science , artificial intelligence , mathematical analysis , paleontology , biology
The article considers simultaneous inference for a class of non‐stationary autoregressive models where the model parameters are allowed to vary smoothly over time. Simultaneous confidence tubes with asymptotically correct coverage probabilities are constructed to assess the overall patterns and magnitudes of the parameter functions over time. Simulation studies are conducted, and a real time‐series dataset is analyzed to demonstrate the usefulness of the proposed methodology.