Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes
A sequential procedure is developed to construct a fixed accuracy confidence interval (CI) of the common unknown variance of the random observations, where the observations arise from a first-order stationary autoregressive (AR(1)) process with a continuous and symmetric error distribution having me...
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| Format: | Article |
| Language: | English |
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Taylor & Francis
2024-12-01
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| Series: | Research in Statistics |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/27684520.2024.2379486 |
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| author | Rahul Bhattacharya Uttam Bandyopadhyay Atanu Biswas Pritam Sarkar |
| author_facet | Rahul Bhattacharya Uttam Bandyopadhyay Atanu Biswas Pritam Sarkar |
| author_sort | Rahul Bhattacharya |
| collection | DOAJ |
| description | A sequential procedure is developed to construct a fixed accuracy confidence interval (CI) of the common unknown variance of the random observations, where the observations arise from a first-order stationary autoregressive (AR(1)) process with a continuous and symmetric error distribution having mean zero and finite fourth-order moment. Using relevant estimators of the parameter of interest, related asymptotic properties of the derived fixed accuracy confidence interval are worked out. Furthermore, empirical evaluation of the proposed procedure together with application of it in the context of a real data is provided. |
| format | Article |
| id | doaj-art-5ee53bae4e0946a0af8bf84896e41333 |
| institution | OA Journals |
| issn | 2768-4520 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Taylor & Francis |
| record_format | Article |
| series | Research in Statistics |
| spelling | doaj-art-5ee53bae4e0946a0af8bf84896e413332025-08-20T02:18:25ZengTaylor & FrancisResearch in Statistics2768-45202024-12-012110.1080/27684520.2024.2379486Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processesRahul Bhattacharya0Uttam Bandyopadhyay1Atanu Biswas2Pritam Sarkar3Department of Statistics, University of Calcutta, Kolkata, IndiaDepartment of Statistics, University of Calcutta, Kolkata, IndiaApplied Statistics Unit, Indian Statistical Institute, Kolkata, IndiaDepartment of Statistics, University of Burdwan, Burdwan, IndiaA sequential procedure is developed to construct a fixed accuracy confidence interval (CI) of the common unknown variance of the random observations, where the observations arise from a first-order stationary autoregressive (AR(1)) process with a continuous and symmetric error distribution having mean zero and finite fourth-order moment. Using relevant estimators of the parameter of interest, related asymptotic properties of the derived fixed accuracy confidence interval are worked out. Furthermore, empirical evaluation of the proposed procedure together with application of it in the context of a real data is provided.https://www.tandfonline.com/doi/10.1080/27684520.2024.2379486Fixed accuracy confidence intervalmartingaleautoregressivestopping variable62F2562L12 |
| spellingShingle | Rahul Bhattacharya Uttam Bandyopadhyay Atanu Biswas Pritam Sarkar Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes Research in Statistics Fixed accuracy confidence interval martingale autoregressive stopping variable 62F25 62L12 |
| title | Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes |
| title_full | Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes |
| title_fullStr | Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes |
| title_full_unstemmed | Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes |
| title_short | Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes |
| title_sort | fixed accuracy confidence intervals for variance under first order stationary autoregressive processes |
| topic | Fixed accuracy confidence interval martingale autoregressive stopping variable 62F25 62L12 |
| url | https://www.tandfonline.com/doi/10.1080/27684520.2024.2379486 |
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