Fixed accuracy estimation of an autoregressive parameter
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Publication:1054429
DOI10.1214/aos/1176346154zbMath0519.62076MaRDI 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
Monte Carlo simulations; Fisher information; stopping rule; least squares estimator; uniform consistency; uniform asymptotic normality; accuracy estimation; first order non-explosive autoregressive process; normal residuals
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62L12: Sequential estimation
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