On Darling-Robbins type confidence sequences and sequential tests with power one for parameters of an autoregressive process

A. K. Basu and Indranil Mukhopadhyay

Statistics & Probability Letters, 1999, vol. 45, issue 3, 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.

Keywords: Darling-Robbins; type; confidence; sequences; Tests; with; power; one; AR(1); process; AR(p); process; The; law; of; iterated; logarithm; Chow-Hájek-Rényi; inequality (search for similar items in EconPapers)
Date: 1999
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