On Fixed Accuracy Confidence Interval in Multivariate Normal Distribution with Order 1 Autoregressive Covariance Structure

Pritam Sarkar; Uttam Bandyopadhyay; Rahul Bhattacharya

doi:10.1007/s42519-022-00310-7

On Fixed Accuracy Confidence Interval in Multivariate Normal Distribution with Order 1 Autoregressive Covariance Structure

J Stat Theory Pract. 2023;17(1):13. doi: 10.1007/s42519-022-00310-7. Epub 2022 Dec 6.

Authors

Pritam Sarkar¹, Uttam Bandyopadhyay², Rahul Bhattacharya²

Affiliations

¹ Department of Statistics, The University of Burdwan, Barddhaman, India.
² Department of Statistics, University of Calcutta, Ballygunge Circular Road, Kolkata, 700019 India.

Abstract

In this paper, stein-type two-stage sampling procedure is carried out for fixed accuracy confidence interval estimation of the common variance ( $σ^{2}$ ) parameter corresponding to multivariate normal distribution with autoregressive covariance structure of order 1. Related asymptotics are obtained and simulation results are presented.

Keywords: Asymptotic relative efficiency; Auto-regressive model; Fixed accuracy confidence interval; Stein two-stage procedure.

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