Fixed accuracy estimation of an autoregressive parameter

DOI10.1214/aos/1176346154zbMath0519.62076OpenAlexW2082663820MaRDI QIDQ1054429

Tze Leung Lai, David O. Siegmund

Publication date: 1983

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346154

zbMATH Keywords

Monte Carlo simulationsFisher informationstopping ruleleast squares estimatoruniform consistencyuniform asymptotic normalityaccuracy estimationfirst order non-explosive autoregressive processnormal residuals

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Sequential estimation (62L12)

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