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

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 language	English
Pages (from-to)	193-216
Number of pages	24
Journal	Sequential Analysis
Volume	9
Issue number	2
DOIs	https://doi.org/10.1080/07474949008836205
Publication status	Published - 1 Jan 1990

Keywords

autoregression process
drifting
parameter
truncated procedure

ASJC Scopus subject areas

Modelling and Simulation
Statistics and Probability

Access to Document

10.1080/07474949008836205

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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.",

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author = "Konev, {V. V.} and Pergamenschicov, {S. M.}",

year = "1990",

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