Simultaneous confidence bands for Yule–Walker estimators and order selection

Abstract

Let $\{X_k,k\in{\mathbb{Z}}\}$ be an autoregressive process of order $q$. Various estimators for the order $q$ and the parameters ${\bolds \Theta}_q=(\theta_1,...,\theta_q)^T$ 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 ${\bolds\Theta}_q$. In this paper, we establish simultaneous confidence bands for the Yule--Walker estimators $\hat{\theta}_i$; more precisely, it is shown that the limiting distribution of ${\max_{1\leq i\leq d_n}}|\hat{\theta}_i-\theta_i|$ is the Gumbel-type distribution $e^{-e^{-z}}$, where $q\in\{0,...,d_n\}$ and $d_n=\mathcal {O}(n^{\delta})$, $\delta >0$. 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 $q$. 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 $\{\theta_i\}_{1\leq i\leq d_n}$ 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 $q\in\{0,...,d_n\}$ where $d_n=\mathcal {O}(n^{\delta})$.