Authors' Response

Abstract

This article contains our responses to the eight discussion pieces written by experts, commenting on the results presented in Sriram and Iaci (2014). The majority of the discussants described complementary sequential problems arising in time series and other models involving dependent data, while two of the discussants provided thoughtful views on the phenomenon of negative regret investigated in our article. Prompted by an excellent observation made in one of the discussion pieces, we have attempted to shed further light on the phenomenon of negative regret in the context of sequential estimation of the autoregressive parameter.

Keywords:

• Autoregressive model
• Point estimation
• Regret
• Stopping rules

Subject Classifications:

• 62L12
• 60G40
• 62M10
• 62F25
• 60G10

ACKNOWLEDGMENTS

We once again thank the Editor, Professor Nitis Mukhopadhyay, for inviting us to submit our responses to the eight discussion pieces prepared by leading statisticians. Overall, it was a great learning experience for us, and we sincerely hope that our contribution and the eight discussion pieces will generate more interest in the area of sequential estimation for dependent models.

Notes

a denotes the absolute value of the regret that exceeds 3 standard errors.

b denotes the absolute value of the estimated regret that exceeds 2 standard errors.

b denotes the absolute value of the estimated regret that exceeds 2 standard errors.

a denotes the absolute value of the regret that exceeds 3 standard errors.

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