Sequential estimation of the mean of a first-order stationary autoregressive process

DOI10.1214/aos/1176350494zbMath0627.62084OpenAlexW2001704805MaRDI QIDQ1092574

T. N. Sriram

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1214/aos/1176350494

zbMATH Keywords

asymptotic efficiencystopping rulelocationsample meanautoregressive processreverse martingaleBurkholder inequalityasymptotically risk efficientasymptotically consistentfixed-width confidence interval estimationMarcinkiewics-Zygmund inequalitysequential interval estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12)

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