Sequential estimation of the mean in a random coefficient autoregressive model with beta marginals

DOI10.1016/S0167-7152(00)00142-5zbMath0979.62058MaRDI QIDQ5933637

Adam T. Martinsek

Publication date: 18 February 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

beta autoregressive processlimiting distributionprecise estimationstopping rulestrong mixing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Sequential estimation (62L12)

Related Items (4)

Estimation of the maximum and minimum in a model for bounded, dependent data ⋮ On the almost sure limit theorem for the joint version of maxima and minima of non-stationary random fields ⋮ On the almost sure convergence for the joint version of maxima and minima of stationary sequences ⋮ Maxima and minima of complete and incomplete stationary sequences

Cites Work

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• Sequential estimation of the mean of a first-order stationary autoregressive process
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• Sequential estimation of the mean vector of a multivariate linear process
• An Autoregressive Process for Beta Random Variables
• sequential estimation of the mean of a linear process
• Almost sure invariance principles for partial sums of weakly dependent random variables
• A New Approach to the Limit Theory of Recurrent Markov Chains
• On the Asymptotic Theory of Fixed-Width Sequential Confidence Intervals for the Mean

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