Abstract
Approximate confidence intervals are derived for the autoregressive parameters of a stationary, Gaussian auto-regressive process of arbitrary order and shown to be asymptotically correct to order o ( 1 / n ) , where n is the sample size. Simulation studies are included for small and moderate sample sizes for the case of two auto-regressive parameters, and these indicate excellent approximation for sample sizes as small as n = 10 , 20 . The convergence is in the very weak sense, and the derivation differs from most existing work through its direct focus on Studentized estimation error and its use of Stein's identity.
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