Sequential estimation of the mean vector of a multivariate linear process

DOI10.1006/jmva.1993.1079zbMath0799.62092OpenAlexW1969800683MaRDI QIDQ1321981

Sangyeol Lee, Issa Fakhre-Zakeri

Publication date: 20 November 1994

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

Full work available at URL: https://doi.org/10.1006/jmva.1993.1079

zbMATH Keywords

unknown covariance matrixrandom central limit theoremunknown mean vectormultivariate linear processasymptotic risk efficiencyfixed accuracy confidence set procedurefixed-width confidence set

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Central limit and other weak theorems (60F05) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12)

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