Sequential estimation for dependent oberservations with an application to non-standard autoregressive processes

DOI10.1016/0304-4149(90)90129-GzbMath0701.62083OpenAlexW2071818503MaRDI QIDQ914308

William P. McCormick, T. N. Sriram, Ishwar V. Basawa

Publication date: 1990

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(90)90129-g

zbMATH Keywords

uniform integrabilityasymptotic relative efficiencyleast squares estimatorreverse submartingaleexpected sample sizedependent observationsasymptotic risk accuracyextreme value estimatornon-standard first order autoregressive processWeibull errors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12)

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