Asymptotic expansions in sequential estimation of an autoregressive parameter

zbMath0816.62069MaRDI QIDQ1332116

Vsevolod K. Malinovskii

Publication date: 10 October 1994

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

asymptotic expansionssplitting techniqueautoregressive parameterrandomly stopped sequencesrecord regenerationsequential least squares estimatorfirst order ergodic autoregressive modelgeneral state space Harris recurrent Markov chains

Mathematics Subject Classification ID

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

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

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