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Sequential Analysis
Design Methods and Applications
Volume 9, 1990 - Issue 2
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Original Articles

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

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Pages 193-216 | Published online: 29 Mar 2007

References

  • Bhhattacharya , R.N. and Rango-Rao , R. 1976 . Normal Approximation and Asymptotic Expansions , New York : Wiley .
  • Borisov , V.Z. and Konev , V.V. 1977 . On sequential parameters estimation in discrete time processes . Automat. and Remote Control , 10 : 58 – 64 . in Russian
  • Konev , V.V. 1983 . The boundary for the mean time of observations in the problems of sequential estimation of the parameters of recurrent processes . Automat. and Remote Control , 12 : 64 – 73 . in Russian
  • Konev , V.V. and Pergamenschicov , S.M. 1984 . On the number of observations in sequential identification of the parametersin the dynamic systems . Automat. and Remote Control , 12 : 56 – 62 . in Russian
  • Konev , V.V. and Pergamenschicov , S.M. 1986 . On the duration of sequential estimation of parameters of stochastic process in discrete time . Stochastics , 18 : 133 – 154 .
  • Lai , T.L. and Siegmund , D. 1983 . Fixed accuracy estimation of anautoregressive parameter . AM. Statis. , 11 : 478 – 485 .
  • Lipster , R. S. and Shiryaev , A.N. 1978 . Statistics of Random Processes , Berlin : Springer-Verlag .
  • Morozov , V. A. 1984 . Parameter estimation of 1inear dynamic systems with uncertain observations . Automat.and Remote Control , 4 : 84 – 93 . in Russian
  • Novikov , A. A. 1971 . The sequential parameters estimation in the process of diffusion type . Theory Probab. Appl. , 16 : 394 – 396 . in Russian
  • Resnick S. I. De Haan L. Rootzen H. De Vries C. Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH-processes Dept. of Statistics, Cornell Univ. New York February 1988 Tech. Rept. NO. 775,14853
  • Wald , A. 1947 . Sequential Analysis , New York : Wiley .
  • Yershov , A. A. 1978 . Robust methods of parameter estimation . Automat. and Remote Control , 8 : 84 – 93 . (Surver) in Russian

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