Sequential estimation of the mean of a first-order autoregressive process

DOI10.1080/03610929008830282zbMath0724.62080OpenAlexW1983272127MaRDI QIDQ3212154

Girish Aras

Publication date: 1990

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929008830282

zbMATH Keywords

loss functionautoregressive processnonlinear renewal theoryasymptotically risk efficientunknown scaleexpected stopping timeasymptotic normality of the stopping timeasymptotic second order expansionoptimal fixed sample size procedure

Mathematics Subject Classification ID

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

Related Items

On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(\(p\)) ⋮ Sequential Generlized Least squares Estimator For An Autoressive parameter ⋮ On Sequential Least Squares Estimates of Autoregressive Parameters ⋮ On Uniform Asymptotic Normality of Sequential Estimators for the Parameters in a Stable AR(1) ⋮ On sequential estimation of parameters in semimartingale regression models with continuous time parameter.

Cites Work

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