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Polynomial spline confidence bands for time series trend |
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| Authors: | Q. Shao L. Yang |
| Affiliation: | 1. Department of Mathematics and Statistics, University of Toledo, Toledo OH 43606, USA;2. Center for Advanced Statistics and Econometrics Research, School of Mathematical Sciences, Soochow University, Suzhou 215006, China;3. Department of Statistics and Probability, Michigan State University, East Lansing MI 48824, USA |
| Abstract: | The paper considers the construction of a confidence band for the trend function of a stationary time series. An explicit formula is derived based on polynomial splines and Sunklodas (1984). The performance of the confidence band is illustrated by simulation studies. The proposed method is applied to the analysis of the annual yields of wheat in the United States. |
| Keywords: | Autoregressive time series B-splines Confidence band |
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