Risk-efficient sequential estimation of multivariate random coefficient autoregressive process

DOI10.1080/07474946.2019.1574441MaRDI QIDQ5379329zbMATH OpenOpenAlexWikidataFDO

Authors Bikram Karmakar, Indranil Mukhopadhyay

Publication date 28 May 2019

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2019.1574441

zbMATH Keywords

asymptotic risk efficiencyoracle estimationsequential estimationtime series modelvector autoregressive model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Random coefficient autoregressive models: an introduction
• Risk efficient estimation of fully dependent random coefficient autoregressive models of general order
• Sequential estimation of the autoregressive parameter in a first order autoregressive process
• Sequential estimation of the autoregressive parameters in ar(p) model
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• Sequential Methods and Their Applications
• Stability in a Random Coefficient Model

Cited in

(6)

• Risk efficient estimation of fully dependent random coefficient autoregressive models of general order
• Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure
• Sequential estimation of the mean in a random coefficient autoregressive model with beta marginals
• scientific article; zbMATH DE number 7708090 (Why is no real title available?)
• scientific article; zbMATH DE number 7708021 (Why is no real title available?)
• Investigation of sequential sampling procedures for estimation in a random coefficients autoregressive model

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