On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference

DOI10.1134/S1064562416060235zbMath1362.60042MaRDI QIDQ521425

Victor Konev

Publication date: 11 April 2017

Published in: Doklady Mathematics (Search for Journal in Brave)

zbMATH Keywords

martingalessequential estimatorsconditionally Gaussian incrementsfirst-order autoregressive modelsnonasymptotic normal distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12)

Related Items (3)

Confidence estimation of autoregressive parameters based on noisy data ⋮ Sequential model selection method for nonparametric autoregression ⋮ Sequential fixed accuracy estimation for nonstationary autoregressive processes

Cites Work

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• OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES
• Asymptotic minimaxity of a sequential estimator for a first order autoregressive model
• Asymptotic Properties of Sequential Design for Estimating the Parameter of a First-Order Autoregression
• Martingale-difference Gibbs random fields and central limit theorem
• Statistical Experiments and Decisions

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