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On the duration of sequential estimation of parameters of stochastic processes in discretetime

 

作者: V. V. Konev,   S. M. Pergamenshchicov,  

 

期刊: Stochastics  （Taylor Available online 1986）
卷期: Volume 18, issue 2  

页码: 133-154

 

ISSN:0090-9491

 

年代: 1986

 

DOI:10.1080/17442508608833405

 

出版商: Gordon and Breach, Science Publishers, Inc

 

关键词: Parameter estimation;least squares estimation;autoregressive models;asymptotic normality

 

数据来源: Taylor

 

摘要:

This paper establishes several properties of sequential plans proposed earlier by the same authors for estimation of parameters of random processes described by stochastic difference equations. Upper and lower bounds for mean time of sequential estimation are obtained. The asymptotic normality of the stopping time is shown in the case of autoregressive models.

 

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