Risk-efficient sequential estimation of multivariate random coefficient autoregressive process

DOI10.1080/07474946.2019.1574441zbMath1429.62399OpenAlexW2946297075WikidataQ127939878 ScholiaQ127939878MaRDI QIDQ5379329

Indranil Mukhopadhyay, Bikram Karmakar

Publication date: 28 May 2019

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

Full work available at URL: https://doi.org/10.1080/07474946.2019.1574441

zbMATH Keywords

sequential estimationtime series modelvector autoregressive modeloracle estimationasymptotic risk efficiency

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

Related Items (3)

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

Cites Work

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• Risk efficient estimation of fully dependent random coefficient autoregressive models of general order
• On Optimal Adaptive Prediction of Multivariate Autoregression

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