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July, 1977 Robust Interval Estimation of the Innovation Variance of an Arma Model
William W. Davis
Ann. Statist. 5(4): 700-708 (July, 1977). DOI: 10.1214/aos/1176343893

Abstract

For the autoregressive-moving average time series model, the normal theory procedure for setting confidence intervals for the error variance is not robust against nonnormality. This paper proposes three asymptotically robust techniques: they are a "standard-error" procedure, an analog of Box's simple data splitting technique, and the jackknife procedure. The large sample distribution of each of these techniques is derived.

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William W. Davis. "Robust Interval Estimation of the Innovation Variance of an Arma Model." Ann. Statist. 5 (4) 700 - 708, July, 1977. https://doi.org/10.1214/aos/1176343893

Information

Published: July, 1977
First available in Project Euclid: 12 April 2007

zbMATH: 0361.62079
MathSciNet: MR436500
Digital Object Identifier: 10.1214/aos/1176343893

Subjects:
Primary: 62M10
Secondary: 62G35

Keywords: Autoregressive-moving average , data splitting , discrete time series , jackknife , robust inference , variance

Rights: Copyright © 1977 Institute of Mathematical Statistics

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Vol.5 • No. 4 • July, 1977
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