ON Optimality the Feosd-Accuracy Estimate Op Theparameter In Ah Explosive Autoregressive Process Op The First Order

DOI10.1080/07474949308836269zbMath0774.62090OpenAlexW2082667947MaRDI QIDQ4036028

Serguei Pergamenchtchikov, Victor Konev

Publication date: 16 May 1993

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474949308836269

zbMATH Keywords

asymptotic optimalitystopping timesloss functionsuniform asymptotic normalityexplosive autoregressive process of the first orderfixed accuracy estimatesequential modification of the least squares estimate

Mathematics Subject Classification ID

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

Related Items (5)

Estimators with prescribed Precision in Stochastic regression models ⋮ Sequential Generlized Least squares Estimator For An Autoressive parameter ⋮ Editor's Special Invited Paper: Sequential Estimation for Time Series Models ⋮ Fixed precision estimator of the offspring mean in branching processes ⋮ Guaranteed parameter estimation in a first order autoregressive progress with infinite variance

Cites Work

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• Fixed accuracy estimation of an autoregressive parameter
• On the duration of sequential estimation of parameters of stochastic processes in discretetime
• Asymptotic Properties of Sequential Design for Estimating the Parameter of a First-Order Autoregression

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