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Teoriya Veroyatnostei i ee Primeneniya, 1978, Volume 23, Issue 4, Pages 762–771
(Mi tvp3110)
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This article is cited in 2 scientific papers (total in 2 papers)
A regression problem for continuous time series
N. P. Rasulov, A. S. Holevo Moscow
Abstract:
A model of observation
$$
\xi(t)=mt^{\nu}+\Delta(t),\qquad t\in[0,T],
$$
is considered, where $\nu$ is a non-negative integer, $\Delta(t)$ is a stationary process with zero mean
and with the spectral density of the form
$$
f(\lambda)=|\lambda|^{2\alpha}g(\lambda),\qquad \alpha>-1/2,\qquad g(0)>0.
$$
An asymptotically efficient estimate for the parameter $m$ is constructed as the pseudobest estimate corresponding to the generalized spectral density $|\lambda|^{2\alpha}$.
Received: 15.03.1978
Citation:
N. P. Rasulov, A. S. Holevo, “A regression problem for continuous time series”, Teor. Veroyatnost. i Primenen., 23:4 (1978), 762–771; Theory Probab. Appl., 22:4 (1979), 731–740
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https://www.mathnet.ru/eng/tvp3110 https://www.mathnet.ru/eng/tvp/v23/i4/p762
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