The sequential estimation in stochastic regression model with random coefficients

Sangyeol Lee

Statistics & Probability Letters, 2003, vol. 61, issue 1, 71-81

Abstract: This paper considers the problem of sequential point estimation and fixed accuracy confidence set procedures of parameters in a stochastic regression model with random coefficients. The sequential estimator proposed is based on the least-squares estimator and is shown to be risk efficient as the cost of estimation error tends to infinity. Furthermore, the proposed procedure for fixed-width confidence set is shown to be both asymptotically consistent and asymptotically efficient as the width approaches zero.

Keywords: Sequential; estimation; Fixed; accuracy; confidence; set; Asymptotic; risk; efficiency; Stochastic; regression; model; with; random; coefficients; RCA; model (search for similar items in EconPapers)
Date: 2003
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