Inference for non-stationary time-series autoregression
Version of Record online: 3 MAY 2013
© 2013 Wiley Publishing Ltd.
Journal of Time Series Analysis
Volume 34, Issue 4, pages 508–516, July 2013
How to Cite
Zhou, Z. (2013), Inference for non-stationary time-series autoregression. Journal of Time Series Analysis, 34: 508–516. doi: 10.1111/jtsa.12028
- Issue online: 18 JUN 2013
- Version of Record online: 3 MAY 2013
- Manuscript Received: 18 AUG 2012
- Simultaneous confidence tubes;
- time-varying AR models;
- Gaussian approximation;
- locally stationary approximation
The article considers simultaneous inference for a class of non-stationary autoregressive models where the model parameters are allowed to vary smoothly over time. Simultaneous confidence tubes with asymptotically correct coverage probabilities are constructed to assess the overall patterns and magnitudes of the parameter functions over time. Simulation studies are conducted, and a real time-series dataset is analyzed to demonstrate the usefulness of the proposed methodology.