Sequential estimation for the parameters of a stationary auto regressive model
作者:
Sangyeol Lee,
期刊:
Sequential Analysis
(Taylor Available online 1994)
卷期:
Volume 13,
issue 4
页码: 301-317
ISSN:0747-4946
年代: 1994
DOI:10.1080/07474949408836311
出版商: Marcel Dekker, Inc.
关键词: Sequential estimation;fixed accuracy confidence set;asymptotic risk eficiency;stationary autoregressive process
数据来源: Taylor
摘要:
This paper considers the problem of sequential point estimation and fixed accuracy confidence set procedures of autoregressive parameters in a ρ-th order stationary autoregressive model. The sequential estimator proposed here is based on the least squares estimator and is shown to be risk efficient as the cost of estimation error tends to infinity. Furthermore, the proposed procedure for fixed-width confidence set is shown to be both asymptotically consistent and asymptotically efficient as the width approaches zero.
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