Fixed Accuracy Confidence Set for the Autocorrelations of Linear Processes

  • Lee, Sang-Yeol (Department of Statistics, Sookmyung Womens University)
  • Published : 1997.08.01


This paper considers the problem of sequential fixed accuracy confidence set procedure of the aurocorrelations of stationary linear processes. The proposed procedure for fixed-width confidence set is shown to be both asymptotically consistent and asymptotically efficient as the size of the width approaches zero.



  1. Time Series:Theory and Methods(2ed.) Brockwell, P.J.;Davis, R.A.
  2. Time Series Analysis : Forecastings and Control Box, G.E.;Jenkins, G.M.
  3. Annals of Statistics v.9 The performance of a sequential procedure for the estimation of the mean Chow, Y.S.;Yu, K.F.
  4. Sequential Analysis v.11 Sequential estimation of the mean of a linear process Fakhre-Zakeri, I;Lee, S.
  5. Journal of Mltivariate Analysis v.47 Sequential estimation of the mean vector of a multivariate linear process Fakhre-Zakeri, I;Lee, S.
  6. Introduction to Statistical Time Series Fuller, W.
  7. Sequential Analysis v.13 Sequential estimation for parameters of stationary autoregressive models Lee, S.
  8. Annals of Statistics v.24 Sequential estimation for the autocorrelations of linear processes Lee, S.
  9. In Probability and Statistics Sequential estimation of the mean of a normal population Robbins, H.;U. Grenander(ed.)
  10. Journal of Royal Statististical Society Series v.B no.29 On fixed-width confidence bounds for regression parameters and mean vector Srivastava, M.S.
  11. CBMS-NSF Regional Conference Series in Applied Mathematics Nonlinear Renewal Theory in Sequential Analysis Woodroofe, M.