Sequential estimation of the mean in a random coefficient autoregressive model with beta marginals

Adam T. Martinsek

Statistics & Probability Letters, 2001, vol. 51, issue 1, 53-61

Abstract: Random coefficient autoregressive processes with beta marginals provide a useful family of models for data that are both bounded and dependent over time. We obtain results on sample-size efficient sequential estimation of the mean for such processes.

Keywords: Beta; autoregressive; process; Precise; estimation; Strong; mixing; Stopping; rule (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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