Asymptotic Properties of Sequential Design for Estimating the Parameter of a First-Order Autoregression

DOI10.1137/1136003zbMath0744.62108OpenAlexW2064637098MaRDI QIDQ4000563

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Publication date: 26 September 1992

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1136003

zbMATH Keywords

autoregression parameters of first order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical design (62L05)

Related Items (5)

ON Optimality the Feosd-Accuracy Estimate Op Theparameter In Ah Explosive Autoregressive Process Op The First Order ⋮ Sequential Generlized Least squares Estimator For An Autoressive parameter ⋮ On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference ⋮ Sequential fixed accuracy estimation for nonstationary autoregressive processes ⋮ Fixed accuracy estimation of parameters in a threshold autoregressive model

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