Asymptotic minimaxity of a sequential estimator for a first order autoregressive model

DOI10.1080/17442509208833745zbMath0753.62049OpenAlexW2033817458MaRDI QIDQ3991735

Albert N. Shiryaev, Prescilla E. Greenwood

Publication date: 28 June 1992

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509208833745

zbMATH Keywords

method of least squaresGaussian noiseasymptotic minimax propertyuniform asymptotic normalityfirst order autoregressive modeluniform accuracyweak convergence of statistical experimentsconvergence of Hellinger processessequential maximum likelihood estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

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