On sequential estimation of the parameters of continuous-time trigonometric regression


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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.

About the authors

T. V. Emel’yanova

Tomsk State University

Author for correspondence.
Email: tv_em@mail.ru
Russian Federation, Tomsk

V. V. Konev

Tomsk State University

Email: tv_em@mail.ru
Russian Federation, Tomsk

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