Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises

DOI10.1080/07474946.2016.1275421zbMath1362.60041OpenAlexW2593017767MaRDI QIDQ2986846

Victor Konev, Sergey E. Vorobeychikov

Publication date: 16 May 2017

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2016.1275421

zbMATH Keywords

autoregressive modelsnon-asymptotic distributionconfidence estimationprescribed coverage probabilityregression with Gaussian noisessequential interval estimatorsthreshold first-order autoregression

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12)

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