Vovk, Vladimir (2007) Strong confidence intervals for autoregression.
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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.
This is a Submitted version This version's date is: 4/7/2007 This item is not peer reviewed
https://repository.royalholloway.ac.uk/items/0ad7f690-2040-e65c-b21f-36016f7c084b/7/
Deposited by Research Information System (atira) on 22-Jul-2014 in Royal Holloway Research Online.Last modified on 22-Jul-2014
7 pages, 2 tables, 2 figures