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Teoriya Veroyatnostei i ee Primeneniya, 1964, Volume 9, Issue 1, Pages 72–78
(Mi tvp342)
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This article is cited in 7 scientific papers (total in 7 papers)
Extension of Stationary Stochastic Processes
K. R. Parthasarathya, S. R. S. Varadhanb a Indian Statistical Institute, Calcutta
b Indian Statistical Institute, Calcutta
Abstract:
A process $\xi _\lambda (t)$ of the form (2) is observed, where $S(t-\tau )$ is a signal of a well-known form, which depends on an unknown parameter $\tau$; $\nu(t)$ is Gaussian noise with a spectral density as in (la). The problem is to detect a class of estimations of the parameter $\tau$, whose exactness does not vary when the process $\xi _\lambda (t)$ changes somewhat. A class of processes $\tilde{\xi}_\lambda (t)$ approximating the process $\xi _\lambda(t)$ is determined by means of relation (3). A class of estimations $\tilde\tau$, whose exactness is the same for all processes $\tilde\xi _\lambda$ approximating the process $\xi _\lambda$, is determined from (4). An optimum estimation for this class is found.
Received: 10.12.1962
Citation:
K. R. Parthasarathy, S. R. S. Varadhan, “Extension of Stationary Stochastic Processes”, Teor. Veroyatnost. i Primenen., 9:1 (1964), 72–78; Theory Probab. Appl., 9:1 (1964), 65–71
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Abstract page: | 364 | Full-text PDF : | 142 | First page: | 2 |
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