On Optimal Adaptive Prediction of Multivariate Autoregression

DOI10.1080/07474946.2015.1030977zbMath1326.60050OpenAlexW2553335661MaRDI QIDQ5256827

Vjatscheslav Vasiliev, Marat I. Kusainov

Publication date: 29 June 2015

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

Full work available at URL: https://doi.org/10.1080/07474946.2015.1030977

zbMATH Keywords

stopping timeadaptive predictionoptimal sample sizeasymptotic risk efficiencymultivariate autoregressiontruncated parameter estimators

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (3)

Risk-efficient sequential estimation of multivariate random coefficient autoregressive process ⋮ Risk efficient estimation of fully dependent random coefficient autoregressive models of general order ⋮ Optimal index estimation of heavy-tailed distributions

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