On Improving Simultaneous Confidence Regions for Time Series Analysis.

Abstract

This paper, obtains a simultaneous confidence region for the real-valued gains of a dependent stationary Gaussian time series over a collection of independent fixed series, which is substantially shorter than similar confidence regions currently available in the statistical literature. The tools used here for constructing this improved region include a differential identity for the complex multivariate Gaussian distribution and a multivariate probability inequality for the amplitudes of components of a complex-valued Gaussian random vector. (Author)

Document Details

Document Type
Technical Report
Publication Date
Oct 10, 1985
Accession Number
ADA161193

Entities

People

  • Alan J. Izenman
  • Sanat K. Sarkar

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Amplitude
  • Computing-Related Activities
  • Data Science
  • Gaussian Distributions
  • Gaussian Processes
  • Identities
  • Inequalities
  • Information Science
  • Interdisciplinary Science
  • Literature
  • Mathematical Analysis
  • Mathematics
  • Probability
  • Stationary
  • Stochastic Processes
  • Time Series Analysis

Fields of Study

  • Mathematics

Readers

  • Statistical inference.