Affordable Access

The sequential estimation in stochastic regression model with random coefficients

Authors
Disciplines
  • Mathematics

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.

There are no comments yet on this publication. Be the first to share your thoughts.