Sequential estimation for the parameters of a stationary auto regressive model

DOI10.1080/07474949408836311zbMath0814.62046OpenAlexW2053471442WikidataQ126241219 ScholiaQ126241219MaRDI QIDQ4317763

Sangyeol Lee

Publication date: 21 December 1994

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

Full work available at URL: https://doi.org/10.1080/07474949408836311

zbMATH Keywords

asymptotic consistencyleast squares estimatorautoregressive parametersstationary autoregressive modelasymptotic risk efficiencyfixed accuracy confidence set procedures

Mathematics Subject Classification ID

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

Related Items

Sequential point estimation of parameters in a threshold AR(1) model, Sequential estimation for time series regression models, On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(\(p\)), SEQUENTIAL ESTIMATION FOR SUPERCRITICAL BRANCHING PROCESSES, Unnamed Item, Unnamed Item, On Sequential Least Squares Estimates of Autoregressive Parameters, Editor's Special Invited Paper: Sequential Estimation for Time Series Models, Fixed size confidence regions for parameters of threshold AR(1) models, Second-order analysis of regret for sequential estimation of the autoregressive parameter in a first-order autoregressive model, On Uniform Asymptotic Normality of Sequential Estimators for the Parameters in a Stable AR(1), Sequential fixed accuracy estimation for nonstationary autoregressive processes, The sequential estimation in stochastic regression model with random coefficients, Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure

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