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 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.

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Publication Details

Journal
Research in Statistics
Published
2024-08-05
DOI
https://doi.org/10.1080/27684520.2024.2379486
Primary Topic
Financial Risk and Volatility Modeling
Type
article
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article

Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes

Rahul Bhattacharya, Uttam Bandyopadhyay, Pritam Sarkar, Atanu Biswas
Research in Statistics
Financial Risk and Volatility Modeling
article

Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes

Rahul Bhattacharya, Uttam Bandyopadhyay, Pritam Sarkar, Atanu Biswas
article en

Abstract

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.

Research in StatisticsVol. 2(1)
University of Calcutta (IN), University of Burdwan (IN), Indian Statistical Institute (IN)
Reduced inequalities
Openalex Percentile: Top 83%
Financial Risk and Volatility Modeling
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