Header menu link for other important links
X
On Darling-Robbins type confidence sequences and sequential tests with power one for parameters of an autoregressive process
A K BASU, I MUKHOPADHYAY
Published in Elsevier
1999
Volume: 45
   
Issue: 3
Pages: 205 - 214
Abstract
In this paper, we have obtained confidence sequences using Chow's generalization of Hájek-Rényi inequality and the law of iterated logarithm for the autoregressive parameter in a stable first 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 confidence sequences for several parameters in a pth order autoregressive model. © 1999 Elsevier Science B.V. All rights reserved.
About the journal
JournalData powered by TypesetStatistics and Probability Letters
PublisherData powered by TypesetElsevier
ISSN0167-7152