Sequential confidence intervals for time series (Q653811)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sequential confidence intervals for time series |
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Sequential confidence intervals for time series (English)
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19 December 2011
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The author studies sequential estimation of parameters for time series observations, thereby extending the Chow-Robbins procedure. An extension of the first Wald equation and an estimate of the mean are obtained, and simultaneous confidence bands are established. An earlier result of \textit{E. Gombay} and \textit{L. Horváth} [Commun.\ Stat., Theory Methods 38, No. ~16--17, 2872--2883 (2009; Zbl 1175.62082)] on strong approximations is an important ingredient.
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