On truncated sequential estimation of the drifting parametermean in the first order autoregressive models

V. V. Konev, S. M. Pergamenschicov

    Research output: Contribution to journalArticle

    5 Citations (Scopus)

    Abstract

    This paper considers the problem of sequential point estimation of the drifting parameter mean in the first order autoregression process. The truncated sequential procedure proposed here is based on the least squares estimator and is shown to ensure the preassigned mean square accuracy of the estimates. The uniform in parameter asymptotic normality of the sequential estimator is established.

    Original languageEnglish
    Pages (from-to)193-216
    Number of pages24
    JournalSequential Analysis
    Volume9
    Issue number2
    DOIs
    Publication statusPublished - 1 Jan 1990

      Fingerprint

    Keywords

    • autoregression process
    • drifting
    • parameter
    • truncated procedure

    ASJC Scopus subject areas

    • Modelling and Simulation
    • Statistics and Probability

    Cite this