On the duration of sequential estimation of parameters of stochastic processes in discretetime

DOI10.1080/17442508608833405zbMath0601.62104OpenAlexW2084885850MaRDI QIDQ3736755

Victor Konev, Serguei Pergamenchtchikov

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833405

zbMATH Keywords

asymptotic normalityupper and lower boundsautoregressive modelsstopping timesleast squares estimationsequential procedurestochastic difference equationsmean duration

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Sequential estimation (62L12)

Related Items

Truncated sequential estimation of the parameters in a random regression ⋮ On Truncatd sequential estimation of the drifting parametermean in the first order autoregressive models ⋮ ON Optimality the Feosd-Accuracy Estimate Op Theparameter In Ah Explosive Autoregressive Process Op The First Order ⋮ Nonparametric estimation of the ratios of derivatives of a multivariate distribution density from dependent observations ⋮ On Optimal Adaptive Prediction of Multivariate Autoregression

Cites Work

• Sequential estimation of the parameters of diffusion processes
• Unnamed Item
• Unnamed Item