TY - JOUR AU - Vorobeychikov, Sergey E. AU - Burkatovskaya, Yulia B. PY - 2020/04/13 Y2 - 2024/03/28 TI - Non-asymptotic Confidence Estimation of the Autoregressive Parameter in AR(1) Process with an Unknown Noise Variance JF - Austrian Journal of Statistics JA - AJS VL - 49 IS - 4 SE - Special Issue CDAM conference DO - 10.17713/ajs.v49i4.1121 UR - https://ajs.or.at/index.php/ajs/article/view/1121 SP - 19-26 AB - <p>The paper considers the estimation problem of the autoregressive parameter in the first-order autoregressive process with Gaussian noises when the noise variance is unknown. We propose a non-asymptotic technique to compensate the unknown variance, and then, to construct a point estimator with any prescribed mean square accuracy. Also a fixed-width confidence interval with any prescribed coverage accuracy is proposed. The results of Monte-Carlo simulations are given.</p> ER -