On guaranteed estimation of the mean of an autoregressive process

V. Konev, S. Pergamenshchikov

    Результат исследований: Материалы для журналаСтатья

    4 Цитирования (Scopus)

    Выдержка

    This paper considers the problem of sequential point estimation of the mean of a stable autoregressive process with unknown scale and autoregressive parameters. The construction of a sequential procedure makes use of special stopping rules and some modifications of least-squares estimates. The procedure enables estimating the mean with prescribed mean-square accuracy uniformly in nuisance parameters. The uniform asymptotic normality and the asymptotic minimaxity of the sequential estimate are established. The asymptotic formula for the mean sample size is obtained.

    Язык оригиналаАнглийский
    Страницы (с-по)2127-2163
    Число страниц37
    ЖурналAnnals of Statistics
    Том25
    Номер выпуска5
    СостояниеОпубликовано - окт 1997

    Отпечаток

    Autoregressive Process
    Minimaxity
    Sequential Estimation
    Uniform Asymptotics
    Sequential Procedure
    Point Estimation
    Least Squares Estimate
    Stopping Rule
    Stable Process
    Nuisance Parameter
    Asymptotic Normality
    Asymptotic Formula
    Mean Square
    Sample Size
    Unknown
    Estimate
    Autoregressive process

    ASJC Scopus subject areas

    • Mathematics(all)
    • Statistics and Probability

    Цитировать

    Konev, V., & Pergamenshchikov, S. (1997). On guaranteed estimation of the mean of an autoregressive process. Annals of Statistics, 25(5), 2127-2163.

    On guaranteed estimation of the mean of an autoregressive process. / Konev, V.; Pergamenshchikov, S.

    В: Annals of Statistics, Том 25, № 5, 10.1997, стр. 2127-2163.

    Результат исследований: Материалы для журналаСтатья

    Konev, V & Pergamenshchikov, S 1997, 'On guaranteed estimation of the mean of an autoregressive process', Annals of Statistics, том. 25, № 5, стр. 2127-2163.
    Konev V, Pergamenshchikov S. On guaranteed estimation of the mean of an autoregressive process. Annals of Statistics. 1997 Окт.;25(5):2127-2163.
    Konev, V. ; Pergamenshchikov, S. / On guaranteed estimation of the mean of an autoregressive process. В: Annals of Statistics. 1997 ; Том 25, № 5. стр. 2127-2163.
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