Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci

DOI10.1080/07474946.2014.896690zbMath1291.62151OpenAlexW2212933180MaRDI QIDQ5169475

Albert N. Shiryaev, Alexander Novikov

Publication date: 10 July 2014

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

Full work available at URL: https://doi.org/10.1080/07474946.2014.896690

zbMATH Keywords

Ornstein-Uhlenbeck processdiffusion processesstopping rulesBayesian sequential estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Stationary stochastic processes (60G10) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12)

Related Items (1)

Authors' Response

Cites Work

• Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion
• Editor's Special Invited Paper: Sequential Estimation for Time Series Models

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