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Sequential Generlized Least squares Estimator For An Autoressive parameter

 

作者: Alexei Dmitrienko,   Victor Konev,   Sergei Pergamenshchikov,  

 

期刊: Sequential Analysis  （Taylor Available online 1997）
卷期: Volume 16, issue 1  

页码: 25-46

 

ISSN:0747-4946

 

年代: 1997

 

DOI:10.1080/07474949708836371

 

出版商: Marcel Dekker, Inc.

 

关键词: Generalized least squares estimator;Fixed accuracy estimation;Uniform asymptotic normality;Asymptotic minimaxity

 

数据来源: Taylor

 

摘要:

The paper considers a sequential estimator for the parameter of the first order autoregressive model with unknown noise variance based on the generalized least squares estimator. The estimator has a prescribed mean squared accuracy and is asymptotically normally distributed uniformly in the autoregressive parameter taking values in any compact subset of the real line. The estimator is shown to be asymptotically minimax (in the Hajek-LeCam sense) in a large class of sequential and fixed sample size esti~nation procedures.

 

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