Second-order analysis of regret for sequential estimation of the autoregressive parameter in a first-order autoregressive model

DOI10.1080/07474946.2019.1648933zbMath1429.62358OpenAlexW2975100787MaRDI QIDQ5197977

S. Yaser Samadi, T. N. Sriram

Publication date: 2 October 2019

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

Full work available at URL: https://doi.org/10.1080/07474946.2019.1648933

zbMATH Keywords

martingalestopping ruleleast squares estimatorpoint estimationregretbest fixed sample size

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Sequential estimation (62L12)

Related Items

Unnamed Item, Unnamed Item, Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure

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