Sequential estimation of the autoregressive parameters in ar(p) model

DOI10.1080/07474949708836370zbMath0879.62071OpenAlexW2056350657MaRDI QIDQ4351750

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Publication date: 22 January 1998

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

Full work available at URL: https://doi.org/10.1080/07474949708836370

zbMATH Keywords

stopping timeautoregressive modelleast squares estimatorasymptotic risk efficiency

Mathematics Subject Classification ID

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

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Authors' Response, Unnamed Item, Risk-efficient sequential estimation of multivariate random coefficient autoregressive process, Unnamed Item, Risk efficient estimation of fully dependent random coefficient autoregressive models of general order, Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci, Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure

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