On optimality of the fixed-accuracy estimate of the parameter in an explosive autoregressive process of the first order

V. V. Konev, S. M. Pergamenshchikov

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Abstract

The uniform asymptotic normality of the fixed accuracy estimate for the parameter in explosive autoregressive process of the first order is established. The asymptotic optimality of the estimate in minimax sense for sufficiently broad class of loss functions is shown. The fixed-accuracy estimate is constructed as a sequential modification of the least squares estimate.

Original language	English
Pages (from-to)	25-78
Number of pages	54
Journal	Sequential Analysis
Volume	12
Issue number	1
DOIs	https://doi.org/10.1080/07474949308836269
Publication status	Published - 1 Jan 1993

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Keywords

asymptotic normality
autoregressive process
optimality in minimax sense
sequential estimate
stopping time

ASJC Scopus subject areas

Modelling and Simulation
Statistics and Probability

Cite this

Konev, V. V., & Pergamenshchikov, S. M. (1993). On optimality of the fixed-accuracy estimate of the parameter in an explosive autoregressive process of the first order. Sequential Analysis, 12(1), 25-78. https://doi.org/10.1080/07474949308836269

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10.1080/07474949308836269