Sequential, accelerated-sequential and three-stage estimation of the mean of a first-order stationary autoregressive process: A monte carlo study

DOI10.1080/00949659608811738zbMath0904.62097OpenAlexW1973844257MaRDI QIDQ4357249

David M. Nickerson

Publication date: 7 October 1997

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659608811738

zbMATH Keywords

coverage probabilityexpected sample sizefixed width confidence interval

Mathematics Subject Classification ID

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

Cites Work

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• Sequential estimation of the mean of a first-order stationary autoregressive process
• Asymptotic theory of triple sampling for sequential estimation of a mean
• Second order approximations for sequential point and interval estimation
• The Performance of a Sequential Procedure for the Fixed-Width Interval Estimation of the Mean
• On the Asymptotic Theory of Fixed-Width Sequential Confidence Intervals for the Mean

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