Title: Finite sample inference for nonlinear autoregressive models
Authors: Hien Nguyen - University of Queensland (Australia) [presenting]
Abstract: Autoregressive processes are fundamental modelling tools in time series analysis. To conduct inference for such models usually requires asymptotic limit theorems. We establish finite sample-valid tools for hypothesis testing and confidence set construction in such settings. These constructions can be used to conduct inference in highly nonlinear and irregular scenarios.