Asymptotic expansions in sequential estimation for the first-order random coefficient autoregressive model: Regenerative approach

DOI10.1007/BF00994269zbMath0819.62063OpenAlexW2003254714MaRDI QIDQ1323532

Vsevolod K. Malinovskii

Publication date: 30 August 1995

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00994269

zbMATH Keywords

asymptotic expansionsMarkov chainEdgeworth expansionssplitting techniqueregenerative approachergodic random coefficient autoregressionMarkov type statistical modelsrandomly stopped sequencesRCA processrecord regenerationregeneration cyclessecond order asymptotic analysissequential least squares estimatorWald's identities

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Sequential estimation (62L12)

Related Items (1)

A renewal approach to Markovian \(U\)-statistics

Cites Work

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