On Asymptotic Normality of Sequential LS-Estimates of Unstable Autoregressive Processes
نویسندگان
چکیده
منابع مشابه
On asymptotic normality of sequential LS-estimates of unstable autoregressive processes
For estimating the unknown parameters in an unstable autoregressive AR(p), the paper proposes sequential least squares estimates with a special stopping time defined by the trace of the observed Fisher information matrix. The limiting distribution of the sequential LSE is shown to be normal for the parameter vector lying both inside the stability region and on some part of its boundary in contr...
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ژورنال
عنوان ژورنال: Sequential Analysis
سال: 2011
ISSN: 0747-4946,1532-4176
DOI: 10.1080/07474946.2011.563701