Advanced search
Publication Cover
Journal of Statistical Computation and Simulation Volume 94, 2024 - Issue 3
Submit an article Journal homepage
77
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Asymptotically honest fiducial generalized inference: an application in autoregressive models

Dan GuoSchool of Mathematics and Statistics, Hebei University of Economics and Business, Shijiazhuang, 050061, People's Republic of ChinaView further author information
,
Liang YanSchool of Mathematics and Statistics, Hebei University of Economics and Business, Shijiazhuang, 050061, People's Republic of ChinaCorrespondence[email protected]
View further author information
&
Menghan LiSchool of Mathematics and Statistics, Hebei University of Economics and Business, Shijiazhuang, 050061, People's Republic of ChinaView further author information
Pages 447-459 | Received 23 Feb 2022, Accepted 18 Aug 2023, Published online: 04 Sep 2023

References

  • Box GEP, Jenkins GM, Reinsel GC. Time Series Analysis Forecasting and Control. San Francisco (CA): Holden-Day; 1970.
  • Li W, Wang B, Shen T, et al. Research on Ruin Probability of Risk Model Based on AR(1) Time Series. Commun Math Res. 2020;36(4):390–402.
  • Shen J, Pang T. Asymptotic Inference for AR(1) Panel Data. Appl Math (Irvine). 2020;35(3):265–280.
  • Shen B, Wen T. IOWA Operator-based One-dimensional AR(p) Combined Financial Forecasting Mode. Stat Decis. 2020;36(7):37–40.
  • Cryer JD, Chan K-S. Time Series Analysis with Applications in R. New York: Springer; 2008.
  • Fuller WA. Introduction to Statistical Time Series. New York: Wiley; 1976.
  • Terpstra JT. A Robust Estimate for an Autoregressive Time Series. Kalamazoo(MI): Western Michigan University; 1997.
  • Terpstra JT, Mckean J, Naranjo JD. GR-estimates for an Autoregressive Time Series. Stat Probab Lett. 2001;51(2):165–172.
  • Terpstra JT, Rao M. Generalized Rank estimates for an Autoregressive Time Series: A U-statistic Approach. Stat Inference Stoch Process. 02 2001;4(2):155–179.
  • Koul HL, Schick A. Efficient Estimation in Nonlinear Autoregressive Time-series Models. Bernoulli. 1997;3(3):247–277.
  • Allal J, Faizi M, Kaaouachi A. Adaptive R-estimation in Autoregressions. Commun Stat Theory Methods. 2004;33(2):381–395.
  • Barreto GG, Andrade MG. Robust Bayesian Approach for AR(p) Models Applied to Streamflow Forecasting. J Appl Stat Sci. 2005;13(3):269–292.
  • Banik S, Kibria BMG. Estimation of AR(1) Parameter with Confidence. J Stat Adv Theory Appl. 2019;21(1):1–21.
  • Grunwald GK, Hyndman RJ, Tedesco L, et al. Theory & Methods: Non-gaussian Conditional Linear AR(1) Models. Aust N Z J Stat. 2000;42(4):479–495.
  • Bondon P. Autoregressive Models with Epsilon-skew-normal Innovations. J Multivar Anal. 2009;100(8):1761–1776.
  • Weerahandi S. Generalized Confidence Intervals. J Am Stat Assoc. 1993;88(423):899–905.
  • Hannig J, Iyer H, Patterson P. Fiducial Generalized Confidence Intervals. J Am Stat Assoc. 2006;101(473):254–269.
  • Hannig J. On Generalized Fiducial Inference. Stat Sin. 2009;19(2):491–544.
  • Hannig J. Generalized Fiducial Inference via Discretization. Stat Sin. 2013;23(2):489–514.
  • Hannig J, Iyer H, Lai RCS, et al. Generalized Fiducial Inference: a Review and New Results. J Am Stat Assoc. 2016;111(515):1346–1361.
  • Huwang L. Asymptotically Honest Confidence Sets for Structural Errors-in-variables Models. Ann Stat. 1996;24(4):1536–1546.
  • Xiong S. On Construction of Asymptotically Correct Confidence Intervals. J Stat Plan Inference. 2009;139(4):1394–1404.
  • Shumway RH, Stoffer DS. Time Series Analysis and its Applications. New York: Springer; 2011.
  • Lachos VH, Labra FV. Multivariate Skew-normal/Independent Distributions: properties and inference. Pro Mathematica. 2014;28(56):11–53.
  • Cowpertwait PSP, Metcalfe AV. Introductory Time Series with R. New York: Springer; 2009.
  • Brockwell PJ, Davis RA. Introduction to Time Series and Forecasting. New York: Springer; 1996.
  • Williams J, Xie Y, Hannig J. The EAS Approach for Graphical Selection Consistency in Vector Autoregression Models. Can J Stat. 2022;51(2):674–703.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.