
Accession Number : ADA119373
Title : Fixed Accuracy Estimation of an Autoregressive Parameter.
Descriptive Note : Technical rept.,
Corporate Author : STANFORD UNIV CA DEPT OF STATISTICS
Personal Author(s) : Lai,T L ; Siegmund,D
PDF Url : ADA119373
Report Date : May 1982
Pagination or Media Count : 21
Abstract : For a first order nonexplosive autoregressive process with unknown parameter beta epsilon (1,1), it is shown that if data are collected according to a particular stopping rule, the least squares estimator of beta is asymptotically normally distributed uniformly in beta. In the case of normal residuals, the stopping rule may be interpreted as sampling until the observed Fisher information reaches a preassigned level. The situation is contrasted with the fixed sample size case, where the estimator has a nonnormal limiting distribution when (beta) = 1. (Author)
Descriptors : *Stopping rules(Mathematics), *Confidence limits, *Asymptotic normality, Normal distribution, Accuracy, Estimates, Data acquisition, Parameters, Least squares method, Residuals, Sampling
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE