Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci

DOI10.1080/07474946.2014.896680MaRDI QIDQ5169470zbMATH OpenOpenAlexFDO

Authors Sören Christensen

Publication date 10 July 2014

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2014.896680

zbMATH Keywords

autoregressive modelsoptimal stopping

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stopping times; optimal stopping problems; gambling theory (60G40) Parametric tolerance and confidence regions (62F25) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• An elementary approach to optimal stopping problems for AR(1) sequences
• Applied Probability and Queues
• On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences
• Optimal stopping on autoregressive schemes
• Phase-Type Distributions and Optimal Stopping for Autoregressive Processes
• Sequential estimation for time series models

Cited in

(3)

• Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci
• Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci
• Authors' response

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