CONFIDENCE REGIONS IN TERMS OF STATISTICAL CURVATURE FOR AR(q) NONLINEAR REGRESSION MODELS

摘要

This paper constructs a set of confidence regions of parameters in terms of statistical curvatures for AR(q) nonlinear regression models. The geometric frameworks are proposed for the model. Then several confidence regions for parameters and parameter subsets in terms of statistical curvatures are given based on the likelihood ratio statistics and score statistics. Several previous results, such as [1] and [2] are extended to AR(q) nonlinear regression models.