On sequential estimation of an autoregressive parameter

DOI10.1080/17442509708834107zbMath0877.62077OpenAlexW1984468165MaRDI QIDQ4347780

Albert N. Shiryaev, Vladimir Spokoiny

Publication date: 14 December 1997

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509708834107

zbMATH Keywords

stopping timemaximum likelihood estimatorleast square estimatorautoregressive parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

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