Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure. Issue 4 (2nd October 2021)

• Record Type: Journal Article
• Authors: Sajjadipanah, Soudabe; Mahmoudi, Eisa; Zamani, Mohammadsadegh
• Is Part Of: Sequential analysis. Volume 40:Issue 4(2021)
• Page Start: 466
• Page End: 481
• Publication Date: 2021-10-02
• Subjects: Asymptotic consistency -- asymptotic efficiency -- asymptotic risk efficiency -- autoregressive process -- purely sequential procedure -- two-stage procedure; 62L12 -- 62M10 -- 62L10 -- 62L15; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2021.2010404
• Languages: English
• ISSNs: 0747-4946

Abstract

Abstract: A two-stage procedure in a first-order autoregressive model ( AR ( 1 ) ) is considered that investigates the point and the interval estimation of parameters based on the least squares estimator. The two-stage procedure is shown to be as effective as the best fixed-sample-size procedure. In this regard, the significant properties of the procedure, such as asymptotic risk efficiency, asymptotic efficiency, and asymptotic consistency, are established. A Monte Carlo simulation study is conducted to compare the performance of the two-stage procedure and the purely sequential procedure. Finally, real-time series data are considered to illustrate the applicability of the two-stage procedure.