NON-ASYMPTOTIC CONFIDENCE ESTIMATION OF AN AUTOREGRESSIVE PARAMETER WITH UNKNOWN VARIANCE OF NOISE
S.E. Vorobeychikov, A.V. Pupkov
Tomsk State University, Tomsk, Russia
Keywords: autoregression, least squares estimator, sequential estimation, non-asymptotic confidence region
Abstract
A non-asymptotic procedure for constructing the confidence region of the parameter of the Gaussian autoregression process of the p-th order with an unknown variance of the process noise is proposed. The confidence estimation procedure is based on the martingale property of the numerator of the deviation of the least squares estimator. The paper presents the results of numerical simulation.
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