Sequential Estimation of the Mean Vector of a Multivariate Linear Process
Sequential procedures are proposed to estimate the unknown mean vector of a multivariate linear process of the form Xt - [mu] = [summation operator][infinity]j = 0AjZt - j, where the Zt are i.i.d. (0, [Sigma]) with unknown covariance matrix [Sigma]. The proposed point estimation is asymptotically risk efficient in the sense of Starr (1966, Ann. Math. Statist.37 1173-1185). The fixed accuracy confidence set procedure is asymptotically efficient with prescribed coverage probability in the sense of Chow and Robbins (1965, Ann. Math. Statist.36 457-462). A random central limit theorem for this process, under a mild summability condition on the coefficient matrices Aj, is also obtained.
Year of publication: |
1993
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Authors: | Fakhrezakeri, I. ; Lee, S. Y. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 47.1993, 2, p. 196-209
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Publisher: |
Elsevier |
Saved in:
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