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.
Connections
Explore this paper’s authors, topics and related work.
Building this map preview
BZPEER is loading the nearby papers, people, topics and institutions for this page.
Reviews 0
Write a review
No reviews yet.
Discussion 0
Add a comment
No comments yet.