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Avtomatika i Telemekhanika, 2016, Issue 6, Pages 61–80 (Mi at14486)  
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
Full-text PDF (678 kB) Citations (1)
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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.
Presented by the member of Editorial Board: A. V. Nazin

Received: 02.07.2014
English version:
Automation and Remote Control, 2016, Volume 77, Issue 6, Pages 992–1008
DOI: https://doi.org/10.1134/S0005117916060059
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2016/i6/p61
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    References:36
    First page:24
     
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