Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes
Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes
A sequential procedure is developed to construct a fixed accuracy confidence interval (CI) of the common unknown variance of the random observations, where the observations arise from a first-order stationary autoregressive (AR(1)) process with a continuous and symmetric error distribution having mean zero and finite fourth-order moment. Using relevant estimators …