On Uniform Asymptotic Normality of Sequential Estimators for the Parameters in a Stable AR(1)

DOI10.1081/SQA-120022082zbMath1098.62546MaRDI QIDQ4429469

Leonid I. Galtchouk, Victor Konev

Publication date: 25 September 2003

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

Mathematics Subject Classification ID

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

Related Items (4)

On asymptotic normality of sequential LS-estimate for unstable autoregressive process \(AR(2)\) ⋮ Authors' Response ⋮ Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci ⋮ Bernstein--Frechet inequalities for the parameter of the first order autoregressive process

Cites Work

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• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Sequential estimation of the autoregressive parameter in a first order autoregressive process
• Asymptotic minimaxity of a sequential estimator for a first order autoregressive model
• Sequential estimation for the parameters of a stationary auto regressive model
• On sequential estimation of an autoregressive parameter
• Estimators with prescribed Precision in Stochastic regression models

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