The Prescribed Precision Estimators of the AutoregressionParameter Using the Generalized Least Square Method

DOI10.1137/S0040585X97975691zbMath0894.62092OpenAlexW2026803071MaRDI QIDQ4384402

Serguei Pergamenchtchikov, Victor Konev

Publication date: 10 September 1998

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97975691

zbMATH Keywords

local asymptotic normalitygeneralized least squaresuniform asymptotic normalityprescribed precision estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Sequential estimation (62L12)

Related Items (1)

On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(\(p\))

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