On sequential estimation of parameters in semimartingale regression models with continuous time parameter.

DOI10.1214/aos/1013203463zbMath1043.62067OpenAlexW1498950721MaRDI QIDQ1848915

Victor Konev, Leonid I. Galtchouk

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1013203463

zbMATH Keywords

weighted least squaresprescribed precision

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Generalizations of martingales (60G48) Sequential estimation (62L12)

Related Items (11)

Parameter estimation in optional semimartingale regression models ⋮ Asymptotically optimal parameter estimation under communication constraints ⋮ A truncated estimation method with guaranteed accuracy ⋮ Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering ⋮ On Sequential Least Squares Estimates of Autoregressive Parameters ⋮ Adaptive sequential estimation for ergodic diffusion processes in quadratic metric ⋮ Editor's Special Invited Paper: Sequential Estimation for Time Series Models ⋮ On guaranteed parameter estimation of a multiparameter linear regression process ⋮ Sequential fixed accuracy estimation for nonstationary autoregressive processes ⋮ On statistical estimation and inferences in optional regression models ⋮ On Optimal Adaptive Prediction of Multivariate Autoregression

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