Sequential Estimation of the Parameter of a Stochastic Difference Equation with Random Coefficients

DOI10.1137/1137096zbMath0806.62064OpenAlexW2066477282MaRDI QIDQ4030693

Albert N. Shiryaev, Serguei Pergamenchtchikov

Publication date: 1 April 1993

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

Full work available at URL: https://doi.org/10.1137/1137096

zbMATH Keywords

uniform asymptotic normalityasymptotically minimax

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

Related Items (4)

Uniform Markov renewal theory and ruin probabilities in Markov random walks. ⋮ Estimating the generalized autoregression model parameters for unknown noise distribution ⋮ Stability of stochastic 2-D systems ⋮ Asymptotic expansions in sequential estimation for the first-order random coefficient autoregressive model: Regenerative approach

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