Fakhrezakeri, I.; Lee, S. Y. - In: Journal of Multivariate Analysis 47 (1993) 2, pp. 196-209
Sequential procedures are proposed to estimate the unknown mean vector of a multivariate linear process of the form Xt - [mu] = [summation operator][infinity]j = 0AjZt - j, where the Zt are i.i.d. (0, [Sigma]) with unknown covariance matrix [Sigma]. The proposed point estimation is...