Sequential point estimation of parameters in a threshold AR(1) model

DOI10.1016/S0304-4149(99)00060-5zbMath0995.62070OpenAlexW2102037157MaRDI QIDQ1613666

T. N. Sriram, Sangyeol Lee

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00060-5

zbMATH Keywords

uniform integrabilityasymptotic efficiencystopping rulesTAR modelsthreshold autoregressive modelsasymptotic risk efficiencygeometrically beta-mixing

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

Related Items (10)

Vertically Weighted Averages in Hilbert Spaces and Applications to Imaging: Fixed-Sample Asymptotics and Efficient Sequential Two-Stage Estimation ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises ⋮ Editor's Special Invited Paper: Sequential Estimation for Time Series Models ⋮ Fixed size confidence regions for parameters of threshold AR(1) models ⋮ Fixed-width confidence interval based on a minimum Hellinger distance estimator ⋮ The sequential estimation in stochastic regression model with random coefficients ⋮ Fixed accuracy estimation of parameters in a threshold autoregressive model ⋮ Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure

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