On sequential estimation of an autoregressive parameter

DOI10.1080/17442509708834107MaRDI QIDQ4347780zbMATH OpenOpenAlexFDO

Authors Albert N. Shiryaev, V. G. Spokoiny

Publication date 14 December 1997

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509708834107

zbMATH Keywords

autoregressive parameterleast square estimatormaximum likelihood estimatorstopping time

Mathematics Subject Classification ID

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

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