On sequential estimation of the parameters of continuous-time trigonometric regression
- Авторлар: Emel’yanova T.V.1, Konev V.V.1
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Мекемелер:
- Tomsk State University
- Шығарылым: Том 77, № 6 (2016)
- Беттер: 992-1008
- Бөлім: Stochastic Systems, Queueing Systems
- URL: https://journals.rcsi.science/0005-1179/article/view/150359
- DOI: https://doi.org/10.1134/S0005117916060059
- ID: 150359
Дәйексөз келтіру
Аннотация
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.
Авторлар туралы
T. Emel’yanova
Tomsk State University
Хат алмасуға жауапты Автор.
Email: tv_em@mail.ru
Ресей, Tomsk
V. Konev
Tomsk State University
Email: tv_em@mail.ru
Ресей, Tomsk
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