Sequential estimation of the autoregressive parameters in ar(p) model

This paper deals with the sequential point estimation of the autoregressive parameters in a multiple autoregressive model using the least squares estimator.The sequential estimator is shown to be asymptotically risk efficient under some regularity conditions.The asymptotic normality and uniform integrability of standardized stopping rule are established.This paper also contain a second order approximation to expected stopping time and an expression for regret of the above stopping rule under certain smoothness conditions.