Year: 2007
Type: preprint
Abstract: In this short note I apply the methodology of game-theoretic probability to calculating non-asymptotic confidence intervals for the coefficient of a simple first order scalar autoregressive model. The most distinctive feature of the proposed procedure is that with high probability it produces confidence intervals that always cover the true parameter value when applied sequentially.
Source: arXiv (Cornell University)
Author: Vovk, Vladimir
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2104065720