On Truncatd sequential estimation of the drifting parametermean in the first order autoregressive models

Abstract

This paper considers the problem of sequential point estimation of the drifting parameter mean in the first order autoregression process. The truncated sequential procedure proposed here is based on the least squares estimator and is shown to ensure the preassigned mean square accuracy of the estimates. The uniform in parameter asymptotic normality of the sequential estimator is established.

Keywords:

• autoregression process
• drifting parameter
• truncated procedure