On Truncatd sequential estimation of the drifting parametermean in the first order autoregressive models

DOI10.1080/07474949008836205zbMath0704.62064OpenAlexW2086614837MaRDI QIDQ3484216

Serguei Pergamenchtchikov, Victor Konev

Publication date: 1990

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474949008836205

zbMATH Keywords

asymptotic normalityleast squares estimatorfirst order autoregression processtruncated sequential proceduredrifting parameter meanpreassigned mean square accuracy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

Related Items (5)

Truncated estimation of ratio statistics with application to heavy tail distributions ⋮ 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
• On the duration of sequential estimation of parameters of stochastic processes in discretetime

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