Strong confidence intervals for autoregression. / Vovk, Vladimir.
2007.Research output: Working paper
Strong confidence intervals for autoregression. / Vovk, Vladimir.
2007.Research output: Working paper
}
TY - UNPB
T1 - Strong confidence intervals for autoregression
AU - Vovk, Vladimir
N1 - 7 pages, 2 tables, 2 figures
PY - 2007/7/4
Y1 - 2007/7/4
N2 - In this short note I apply the methodology of game-theoretic probability to calculating non-asymptotic confidence intervals for the coefficient of a simple first order scalar autoregressive model. The most distinctive feature of the proposed procedure is that with high probability it produces confidence intervals that always cover the true parameter value when applied sequentially.
AB - In this short note I apply the methodology of game-theoretic probability to calculating non-asymptotic confidence intervals for the coefficient of a simple first order scalar autoregressive model. The most distinctive feature of the proposed procedure is that with high probability it produces confidence intervals that always cover the true parameter value when applied sequentially.
KW - math.ST
KW - stat.ME
KW - stat.TH
M3 - Working paper
BT - Strong confidence intervals for autoregression
ER -