Abstract
For a first-order non-explosive autoregressive process with dependent noise, we propose a truncated sequential procedure with a fixed mean-square accuracy. The asymptotic distribution of the estimator depends on the type of the noise distribution: it is normal when the noise has a Kotz's distribution, while it is a mixture of normal distributions if the noise distribution is a variance mixture of normal distrbutions as well. In both cases, the convergence to the limiting distribution is uniform in the unknown parameter.
Original language | English |
---|---|
Pages (from-to) | 43-58 |
Number of pages | 16 |
Journal | Mathematical Methods of Statistics |
Volume | 18 |
Issue number | 1 |
DOIs | |
Publication status | Published - 1 Mar 2009 |
Keywords
- autoregression model
- truncated sequential estimators
- uniform normality
ASJC Scopus subject areas
- Statistics, Probability and Uncertainty
- Statistics and Probability