On Darling-Robbins type confidence sequences and sequential tests with power one for parameters of an autoregressive process

DOI10.1016/S0167-7152(99)00060-7zbMath0962.62074OpenAlexW2021723639MaRDI QIDQ1124980

S. H. Smith

Publication date: 19 June 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(99)00060-7

zbMATH Keywords

law of iterated logarithmAR(1) processAR(p) processChow-Hajek-Renyi inequalityDarling-Robbins type confidence sequencestests with power one

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Sequential statistical analysis (62L10)

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Cites Work

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• Time series: theory and methods
• ITERATED LOGARITHM INEQUALITIES
• INEQUALITIES FOR THE SEQUENCE OF SAMPLE MEANS
• CONFIDENCE SEQUENCES FOR MEAN, VARIANCE, AND MEDIAN
• Statistical Methods Related to the Law of the Iterated Logarithm

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