On asymptotic normality of sequential LS-estimate for unstable autoregressive process \(AR(2)\)

DOI10.1016/j.jmva.2010.07.009zbMath1198.62076arXiv0810.1004OpenAlexW2123107601MaRDI QIDQ604375

Victor Konev, Leonid I. Galtchouk

Publication date: 10 November 2010

Published in: Journal of Multivariate Analysis, Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.1004

zbMATH Keywords

asymptotic normalitysequential estimationautoregressive processleast squares estimate

Mathematics Subject Classification ID

Related Items (3)

On asymptotic normality of sequential LS-estimate for unstable autoregressive process \(AR(2)\) ⋮ Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises ⋮ Confidence estimation of autoregressive parameters based on noisy data

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