Galtchouk, L.; Konev, V. - In: Journal of Multivariate Analysis 91 (2004) 2, pp. 119-142
For a stable autoregressive process of order p with unknown vector parameter [theta], it is shown that under a sequential sampling scheme with the stopping time defined by the trace of the observed Fisher information matrix, the least-squares estimator of [theta] is asymptotically normally...