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Avtomatika i Telemekhanika, 2009, Issue 1, Pages 104–118 (Mi at11)  
This article is cited in 3 scientific papers (total in 3 papers)

Stochastic Systems

Estimation of the autoregression parameter with infinite dispersion of noise

A. S. Markov

Tomsk State University
Full-text PDF (265 kB) Citations (3)
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Abstract: To estimate the unknown autoregression parameter in the case when noise has an infinite dispersion, the weighted estimate by the least-squares method is suggested. The limit distribution of the error of estimation is obtained. It is shown that the weighted estimate is asymptotically more exact in comparison with the common estimate by the least-squares method.
Presented by the member of Editorial Board: A. V. Nazin

Received: 23.07.2007
English version:
Automation and Remote Control, 2009, Volume 70, Issue 1, Pages 92–106
DOI: https://doi.org/10.1134/S000511790901007X
Bibliographic databases:
Document Type: Article
PACS: 05.45.Tp
Language: Russian
Citation: A. S. Markov, “Estimation of the autoregression parameter with infinite dispersion of noise”, Avtomat. i Telemekh., 2009, no. 1, 104–118; Autom. Remote Control, 70:1 (2009), 92–106
Citation in format AMSBIB
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Linking options:
  • https://www.mathnet.ru/eng/at11
  • https://www.mathnet.ru/eng/at/y2009/i1/p104
    • This publication is cited in the following 3 articles:
    1. A. E. Barysheva, A. S. Markov, A. A. Mitcel, “VAR assessment under nongaussian distribution of returns”, Rossijskij tehnologičeskij žurnal, 8:2 (2020), 67  crossref
    2. Aliev T.A. Musaeva N.F. Suleymanova M.T., “Algorithms For Indicating the Beginning of Accidents Based on the Estimate of the Density Distribution Function of the Noise of Technological Parameters”, Autom. Control Comp. Sci., 52:3 (2018), 231–242  crossref  isi
    3. Bartlett A., McCormick W.P., “Estimation for Non-Negative Time Series with Heavy-Tail Innovations”, J. Time Ser. Anal., 34:1 (2013), 96–115  crossref  mathscinet  zmath  isi  elib
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Abstract page:469
    Full-text PDF :141
    References:98
    First page:2
     
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