Sequential estimation for the autocorrelations of linear processes

DOI10.1214/AOS/1069362319MaRDI QIDQ1354549zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee

Publication date 8 November 1998

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1069362319

zbMATH Keywords

random central limit theoremuniform integrabilitysample autocorrelationsstationary linear processesasymptotic risk efficiency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(16)

• Risk efficient estimation of fully dependent random coefficient autoregressive models of general order
• Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series
• Discord Detection For A Process With A Predefined Interval Of Observations
• Second-order analysis of regret for sequential estimation of the autoregressive parameter in a first-order autoregressive model
• Sequential estimation for time series regression models
• Sequential estimation of means of linear processes
• \(L_ p\) convergence of reciprocals of sample means with applications to sequential estimation in linear regression
• Sequential estimation of the maximum in a model for corrosion data
• Vertically weighted averages in Hilbert spaces and applications to imaging: fixed-sample asymptotics and efficient sequential two-stage estimation
• Asymptotic distribution with random indices for linear processes
• Sequential point estimation of parameters in a threshold AR(1) model
• A new test for checking the equality of the correlation structures of two time series
• Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
• The sequential estimation in stochastic regression model with random coefficients
• Sequential estimation for time series models
• sequential estimation of the mean of a linear process

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