Simultaneous confidence bands for Yule-Walker estimators and order selection

preprint2012arXivOpen access

Abstract

Let {Xk,k∈Z}\{X_k,k\in{\mathbb{Z}}\} be an autoregressive process of order qq. Various estimators for the order qq and the parameters ${\bolds Θ}_q=(θ_1,...,θ_q)^T$ are known; the order is usually determined with Akaike's criterion or related modifications, whereas Yule-Walker, Burger or maximum likelihood estimators are used for the parameters ${\boldsΘ}_q$. In this paper, we establish simultaneous confidence bands for the Yule--Walker estimators θ^i\hatθ_i; more precisely, it is shown that the limiting distribution of max⁡1≤i≤dn∣θ^i−θi∣{\max_{1\leq i\leq d_n}}|\hatθ_i-θ_i| is the Gumbel-type distribution e−e−ze^{-e^{-z}}, where q∈{0,...,dn}q\in\{0,...,d_n\} and dn=O(nδ)d_n=\mathcal {O}(n^δ), δ>0δ>0. This allows to modify some of the currently used criteria (AIC, BIC, HQC, SIC), but also yields a new class of consistent estimators for the order qq. These estimators seem to have some potential, since they outperform most of the previously mentioned criteria in a small simulation study. In particular, if some of the parameters {θi}1≤i≤dn\{θ_i\}_{1\leq i\leq d_n} are zero or close to zero, a significant improvement can be observed. As a byproduct, it is shown that BIC, HQC and SIC are consistent for q∈{0,...,dn}q\in\{0,...,d_n\} where dn=O(nδ)d_n=\mathcal {O}(n^δ).

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