On the duration of sequential estimation of parameters of stochastic processes in discretetime
Victor V. Konev, S. M. Pergamenshchicov · Stochastics · 1986
This paper establishes several properties of sequential plans proposed earlier by the same authors for estimation of parameters of random processes described by stochastic difference equations. Upper and lower bounds for mean time of sequential estimation are obtained. The asymptotic normality of the stopping time is shown in the case of autoregressive models.