๐”– Bobbio Scriptorium
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Truncated sequential estimation of the parameter of a first order autoregressive process with dependent noises

โœ Scribed by D. Fourdrinier; V. Konev; S. Pergamenshchikov


Book ID
111503717
Publisher
Allerton Press Inc
Year
2009
Tongue
English
Weight
657 KB
Volume
18
Category
Article
ISSN
1066-5307

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โœ Yoshihide Kakizawa ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 354 KB

A closed-form expression for the exponential rate of an estimator in the Gaussian AR(1) process is obtained. This shows that the exponential rates of several famous estimators are all identical. Further it is shown that mean-correction does not affect the large deviation asymptotics. (~