Truncated sequential estimation of the parameter of a first order autoregressive process with dependent noises

DOI10.3103/S1066530709010037zbMath1282.62042MaRDI QIDQ2439213

Dominique Fourdrinier, Serguei Pergamenchtchikov, Victor Konev

Publication date: 10 March 2014

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

autoregression modeltruncated sequential estimatorsuniform normality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Sequential statistical analysis (62L10) Sequential estimation (62L12)

Related Items

Truncated estimation of ratio statistics with application to heavy tail distributions, Sequential robust estimation for nonparametric autoregressive models, A truncated estimation method with guaranteed accuracy, Guaranteed Estimation of Logarithmic Density Derivative by Dependent Observations, Non-Parametric Sequential Estimation of a Regression Function Based on Dependent Observations, On Optimal Adaptive Prediction of Multivariate Autoregression

Cites Work

• Unnamed Item
• Fixed accuracy estimation of an autoregressive parameter
• Sequential estimation of the mean of a first-order stationary autoregressive process
• Sequential estimation of parameters of discrete processes
• Sequential identification procedures for the parameters of dynamic systems
• On sequential comparisons of means of first-order autoregressive models
• Minimax estimation of location vectors for a wide class of densities