Sequential estimation of the parameters in unstable AR(2)
Galtchouk, Leonid ; Konev, Victor
HAL, hal-00129705 / Harvested from HAL
Text on HAL
For a second order non-explosive autoregressive process with un-known 2-dimensional parameter, it is shown that the sequentialleast squares estimate with a particular stopping time is asymptotically normally distributed uniformly in unknown parameter belongingto any compact set in the stability region of the process supple-mented with the part of its boundary corresponding to complex rootsof the characteristic polynomial.
Publié le : 2004-03-04
Classification:  autoregressive process,  uniform asymptotic normality,  "autoregressive process,  least squares estimator,  sequential estimation,  uniform asymptotic normality",  62L10, 62L12,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] 
@article{hal-00129705,
     author = {Galtchouk, Leonid and Konev, Victor},
     title = {Sequential estimation of the parameters in unstable AR(2)},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00129705}
}

Galtchouk, Leonid; Konev, Victor. Sequential estimation of the parameters in unstable AR(2). HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00129705/