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Teoriya Veroyatnostei i ee Primeneniya, 1971, Volume 16, Issue 2, Pages 249–263
(Mi tvp2145)
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This article is cited in 5 scientific papers (total in 5 papers)
Almost periodic signal estimations
A. S. Holevo Moscow
Abstract:
Let $\xi(t)=\theta(t)+\Delta(t)$ where $\Delta(t)$ is a stationary «noise» process, $\theta(t)$ is a «signal» of the form (4$'$) (the numbers $\lambda_k$ satisfy (5)).
In the paper, an estimation problem is considered for an arbitrary bounded linear functional $\varphi(\theta)$. Asymptotical expressions are obtained for the variances of the leastsquares estimators and best unbiased ones. The main result is:
Let the spectral density $f(\lambda)$ of the process $\Delta(t)$ satisfy (6), be uniformly bounded on $(-\infty,\infty)$ and continuous and positive at each point $\lambda_k$. Then the least-squares estimators are asymptotically effecient.
As an example, the least-squares estimators of a periodic signal are considered.
Received: 28.10.1969
Citation:
A. S. Holevo, “Almost periodic signal estimations”, Teor. Veroyatnost. i Primenen., 16:2 (1971), 249–263; Theory Probab. Appl., 16:2 (1971), 249–263
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https://www.mathnet.ru/eng/tvp2145 https://www.mathnet.ru/eng/tvp/v16/i2/p249
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