The prescribed precision estimators of the autoregression parameter using the generalized least square method

V. V. Konev, S. M. Pergamenshchikov

    Research output: Contribution to journalArticle

    1 Citation (Scopus)

    Abstract

    A sequential estimator is proposed for the autoregression parameter of first-order (AR(1)), which is constructed on the basis of a generalized least square method (GLSM) using a special choice of the weight coefficients in the sum of residual squares. Under some natural requirements on the noise distribution function, this is the prescribed precision estimator in the sense that it provides the unknown parameter estimation with any fixed square average accuracy at the moment of termination of the observation. In contrast to the sequential least square estimator, our estimator has the important property of uniform asymptotic normality with respect to the parameter on the whole axis. Using this result one can show that the sequential least square estimator is asymptotically optimal in the minimax sense for the power loss function, in a wide class of sequential and nonsequential procedures.

    Original languageEnglish
    Pages (from-to)678-694
    Number of pages17
    JournalTheory of Probability and its Applications
    Volume41
    Issue number4
    DOIs
    Publication statusPublished - Dec 1996

    Fingerprint

    Generalized Least Squares
    Autoregression
    Least Square Method
    Estimator
    Least Squares Estimator
    Weight Coefficient
    Uniform Asymptotics
    Power Function
    Asymptotically Optimal
    Loss Function
    Asymptotic Normality
    Minimax
    Termination
    Unknown Parameters
    Parameter Estimation
    Distribution Function
    Moment
    First-order
    Least square method
    Generalized least squares

    Keywords

    • Autoregression process
    • Local asymptotic normality
    • Prescribed precision estimators
    • Uniform asymptotic normality

    ASJC Scopus subject areas

    • Statistics and Probability

    Cite this

    The prescribed precision estimators of the autoregression parameter using the generalized least square method. / Konev, V. V.; Pergamenshchikov, S. M.

    In: Theory of Probability and its Applications, Vol. 41, No. 4, 12.1996, p. 678-694.

    Research output: Contribution to journalArticle

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