Limit Theorems for Sample Covariances of Stationary Linear Processes with Applications to Sequential Estimation

DOI10.1080/02331889708802588zbMath0899.62102OpenAlexW2174341846MaRDI QIDQ4344174

Issa Fakhre-Zakeri, Jamshid Farshidi

Publication date: 21 October 1998

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889708802588

zbMATH Keywords

linear processuniform integrabilitystationaritystrong consistencystopping timessequential estimationrandom central limit theorem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12)

Cites Work

• Time series: theory and methods
• The performance of a sequential procedure for the estimation of the mean
• A central limit theorem with random indices for stationary linear processes
• sequential estimation of the mean of a linear process
• On the Asymptotic Theory of Fixed-Width Sequential Confidence Intervals for the Mean
• On the Asymptotic Efficiency of a Sequential Procedure for Estimating the Mean

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