Basawa, I.V.; McCormick, W.P.; Sriram, T.N. - In: Stochastic Processes and their Applications 35 (1990) 1, pp. 149-168
This paper is concerned with a general approach for sequential estimation for dependent observations, and an application to a non-standard first order autoregressive process having Weibull errors. The natural estimator of the autoregressive parameter when the errors are non negative turns out to...