On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(p) |
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| Authors: | L Galtchouk V Konev |
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| Institution: | a IRMA, Department of Mathematics, Strasbourg University, 7, st. Réne Descartes, Strasbourg, Cedex, France;b Department of Applied Mathematics and Cybernetics, Tomsk University, Lenin str. 36, 634050, Tomsk, Russia |
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| Abstract: | For a stable autoregressive process of order p with unknown vector parameter θ, it is shown that under a sequential sampling scheme with the stopping time defined by the trace of the observed Fisher information matrix, the least-squares estimator of θ is asymptotically normally distributed uniformly in θ belonging to any compact set in the parameter region. |
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| Keywords: | Autoregressive process Least-squares estimator Sequential estimation Uniform asymptotic normality |
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