Estimators with prescribed Precision in Stochastic regression models

DOI10.1080/07474949508836330MaRDI QIDQ4865160zbMATH OpenOpenAlexFDO

Authors Tze Leung Lai, Victor Konev

Publication date 6 June 1996

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474949508836330

zbMATH Keywords

autoregressionmean squared errorsstopping rulesleast squares estimatesstochastic regression modelsmartingale structurefixed precision estimatorsmultidimensional stochastic regressors

Mathematics Subject Classification ID

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

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Cites work

• Asymptotically Efficient Self-Tuning Regulators
• Fixed accuracy estimation of an autoregressive parameter
• ON Optimality the Feosd-Accuracy Estimate Op Theparameter In Ah Explosive Autoregressive Process Op The First Order
• Sequential estimation of the autoregressive parameter in a first order autoregressive process

Cited in

(13)

• Fixed precision estimator of the offspring mean in branching processes
• Stochastic approximation models in estimating productivity
• Nonparametric estimation of the ratios of derivatives of a multivariate distribution density from dependent observations
• Sequential confidence regions of generalized linear models with adaptive designs
• Sequential fixed accuracy estimation for nonstationary autoregressive processes
• Sequential Estimation in Stochastic Approximation Problem with Autoregressive Errors in Observations
• On Uniform Asymptotic Normality of Sequential Estimators for the Parameters in a Stable AR(1)
• Guaranteed parameter estimation in a first order autoregressive progress with infinite variance
• On Sequential Least Squares Estimates of Autoregressive Parameters
• Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises
• On sequential estimation of parameters in semimartingale regression models with continuous time parameter.
• Sequential Generlized Least squares Estimator For An Autoressive parameter
• Optimal index estimation of heavy-tailed distributions

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