✦ LIBER ✦
On Darling–Robbins type confidence sequences and sequential tests with power one for parameters of an autoregressive process
✍ Scribed by A.K. Basu; Indranil Mukhopadhyay
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 104 KB
- Volume
- 45
- Category
- Article
- ISSN
- 0167-7152
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✦ Synopsis
In this paper, we have obtained conÿdence sequences using Chow's generalization of HÃ ajek-RÃ enyi inequality and the law of iterated logarithm for the autoregressive parameter in a stable ÿrst order autoregressive model where innovations are assumed to be independently and identically distributed. A sequential testing procedure with power one has also been proposed. We have also indicated a generalization to conÿdence sequences for several parameters in a pth order autoregressive model.