Adjusted-Range Self-Normalized Confidence Interval Construction for Censored Dependent Data

This paper proposes an adjusted-range based self-normalization method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation studies confirm the validity of this new approach

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Year of publication:	[2022]
Authors:	Sun, Jiajing ; Hong, Yongmiao ; Linton, Oliver ; Zhao, Xiaolu
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis

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Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: EL53888
Other identifiers:	10.2139/ssrn.4110861 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013288988