Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci

Abstract

Professors T. N. Sriram and Ross Iaci have considered the problem of sequential estimation of the autoregressive parameter in an AR(1) model and construction of sequential confidence region for a parameter vector in a TAR(1) model. Using extensive simulations, the authors have attempted to resolve the theoretical conjuncture that a fully sequential stopping time can have a negative regret. Their work opens up new directions for further research and establishes the need for second-order expansions for the regret. In this discussion, I briefly address some issues related to the simulation studies for an AR(1) model.