Abstract Details
Activity Number:
|
41
|
Type:
|
Contributed
|
Date/Time:
|
Sunday, August 4, 2013 : 2:00 PM to 3:50 PM
|
Sponsor:
|
Section on Nonparametric Statistics
|
Abstract - #307559 |
Title:
|
Smooth Simultaneous Confidence Bands for the Autoregressive Error Distribution Functions
|
Author(s):
|
Jiangyan Wang*+ and Rong Liu and Fuxia Cheng and Lijian Yang
|
Companies:
|
Soochow University and University of Toledo and Illinois State University and Michigan State University
|
Keywords:
|
AR(p) ;
bandwidth ;
confidence band ;
error ;
kernel ;
Kolmogorov distribution
|
Abstract:
|
We propose kernel estimator of the distribution function of the unobserved random errors in autoregressive time series. The estimator is based on the residuals computed by estimating the autoregressive coefficients with Yule-Walker method. Under mild assumptions, we establish oracle efficiency of the proposed estimator, i.e., it is asymptotically as efficient as the kernel estimator of the distribution function based on the unobserved error sequence itself. A smooth simultaneous confidence band is construct based on the proposed smooth distribution estimator and Kolmogorov distribution. Simulation examples support the asymptotic theory.
|
Authors who are presenting talks have a * after their name.
Back to the full JSM 2013 program
|
2013 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.
The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Copyright © American Statistical Association.