ON Optimality the Feosd-Accuracy Estimate Op Theparameter In Ah Explosive Autoregressive Process Op The First Order

Abstract

The unif orm asymptotic normality of the fixed accuracy estimate for the parameter in explosive autoregressive process of the first order is established. The asymptotic optimality of the estimate inminimax sense for sufficiently broad class of loss functions is shown. The f ixed-accuracy estimate is constructed as a sequential modification of the least squares estimate.

Keywords:

• sequent lal est imate
• asymptotic normality
• opttmlity Inminimax sense
• autoregresslve process
• stopping time