Sequential Parameter Estimation in Exponential Autoregressive Processes.

Abstract

This paper generalizes the sequential estimation of autoregressive parameters as given in Gaver and Lewis (1980) of pth order processes EAR(p) and GAR(p). The first two moments of the stopping time distribution are computed for the EAR(2) process, a procedure for estimating the paramter lambda is given, and a simulation is given to show how large the stopping time can be for various alpha 1 and alpha 2.

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Document Details

Document Type
Technical Report
Publication Date
Sep 15, 1982
Accession Number
ADA120569

Entities

People

  • M. R. Chernick
  • V. K. Murthy

Organizations

  • The Aerospace Corporation

Tags

Communities of Interest

  • Materials and Manufacturing Processes
  • Space

DTIC Thesaurus Topics

  • Air Force
  • Contracts
  • Corporations
  • Estimators
  • Guidance
  • Navigation
  • Probability
  • Probability Distributions
  • Random Number Generators
  • Random Variables
  • Residuals
  • Security
  • Sequences

Fields of Study

  • Mathematics

Readers

  • Statistical inference.