Sequential Generlized Least squares Estimator For An Autoressive parameter

DOI10.1080/07474949708836371MaRDI QIDQ4351751zbMATH OpenOpenAlexFDO

Authors Alex Dmitrienko, Victor Konev, Serguei Pergamenchtchikov

Publication date 28 August 1997

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474949708836371

zbMATH Keywords

asymptotic minimaxityfixed accuracy estimationgeneralized least squares estimatoruniform asymptotic normality

Mathematics Subject Classification ID

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

Recommendations

• On Sequential Least Squares Estimates of Autoregressive Parameters
• On sequential estimation of an autoregressive parameter
• Sequential estimation of the autoregressive parameters in general vector autoregressive model
• Sequential estimation for the parameters of a stationary auto regressive model
• scientific article; zbMATH DE number 7607438
• Sequential estimation of the autoregressive parameters in ar(p) model

Cites work

• A Two-Sample Test for a Linear Hypothesis Whose Power is Independent of the Variance
• Adaptive estimates for autoregressive processes
• Asymptotic Properties of Sequential Design for Estimating the Parameter of a First-Order Autoregression
• Estimators with prescribed Precision in Stochastic regression models
• Fixed accuracy estimation of an autoregressive parameter
• scientific article; zbMATH DE number 3969937 (Why is no real title available?)
• scientific article; zbMATH DE number 3222422 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• scientific article; zbMATH DE number 3045589 (Why is no real title available?)
• On estimation and adaptive estimation for locally asymptotically normal families
• On laws of the iterated logarithm for local times
• ON Optimality the Feosd-Accuracy Estimate Op Theparameter In Ah Explosive Autoregressive Process Op The First Order
• On Sequential Estimation under the Conditions of Local Asymptotic Normality
• Sequential analysis. Tests and confidence intervals
• Sequential estimation of the autoregressive parameter in a first order autoregressive process
• Sequential estimation of the mean of a first-order autoregressive process
• Sequential estimation of the mean of a first-order stationary autoregressive process
• Sequential estimation of the mean vector of a multivariate linear process
• Sequential shrinkage estimation in the general linear model

Cited in

(12)

• Recursive estimation of a drifted autoregressive parameter.
• Sequential fixed accuracy estimation for nonstationary autoregressive processes
• Sequential estimation of the autoregressive parameters in general vector autoregressive model
• One universally efficient estimation of the first-order autoregressive parameter and universal data compression
• Asymptotic minimaxity of a sequential estimator for a first order autoregressive model
• Martingale-difference Gibbs random fields and central limit theorem
• Sequential estimation for the parameters of a stationary auto regressive model
• The Prescribed Precision Estimators of the AutoregressionParameter Using the Generalized Least Square Method
• On the estimation of an autoregressive parameter on the basis of the generalized method of least squares
• scientific article; zbMATH DE number 1399986 (Why is no real title available?)
• An efficient generalized least squares algorithm for periodic trended regression with autoregressive errors
• Sequential estimation for dependent oberservations with an application to non-standard autoregressive processes

This page was built for publication: Sequential Generlized Least squares Estimator For An Autoressive parameter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4351751)