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Avtomatika i Telemekhanika, 2016, Issue 6, Pages 61–80
(Mi at14486)
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This article is cited in 1 scientific paper (total in 1 paper)
Stochastic Systems, Queuing Systems
On sequential estimation of the parameters of continuous-time trigonometric regression
T. V. Emel'yanova, V. V. Konev Tomsk State University, Tomsk, Russia
Abstract:
Consideration was given to the problem of estimating the parameters of a trigonometric regression with the Gaussian Ornstein–Uhlenbeck noise. One-step sequential estimation procedure with a special stopping time defined by a sample Fischer information matrix was proposed. It ensures a given mean square accuracy of estimates uniformly over some parametric region. The results of Monte Carlo simulation of the sequential procedure were presented and compared with the maximum likelihood estimates.
Citation:
T. V. Emel'yanova, V. V. Konev, “On sequential estimation of the parameters of continuous-time trigonometric regression”, Avtomat. i Telemekh., 2016, no. 6, 61–80; Autom. Remote Control, 77:6 (2016), 992–1008
Linking options:
https://www.mathnet.ru/eng/at14486 https://www.mathnet.ru/eng/at/y2016/i6/p61
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Statistics & downloads: |
Abstract page: | 217 | Full-text PDF : | 60 | References: | 36 | First page: | 24 |
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