English

Finite sample inference for generic autoregressive models

Statistics Theory 2022-01-19 v2 Statistics Theory

Abstract

Autoregressive models are a class of time series models that are important in both applied and theoretical statistics. Typically, inferential devices such as confidence sets and hypothesis tests for time series models require nuanced asymptotic arguments and constructions. We present a simple alternative to such arguments that allow for the construction of finite sample valid inferential devices, using a data splitting approach. We prove the validity of our constructions, as well as the validity of related sequential inference tools. A set of simulation studies are presented to demonstrate the applicability of our methodology.

Keywords

Cite

@article{arxiv.2009.11124,
  title  = {Finite sample inference for generic autoregressive models},
  author = {Hien Duy Nguyen},
  journal= {arXiv preprint arXiv:2009.11124},
  year   = {2022}
}