Email this article Stationary statistical experiments and the optimal estimator for a predictable component
- Authors: Koroliouk D.1
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Affiliations:
- Institute of Telecommunications and Global Information Space of the NAS of Ukraine
- Issue: Vol 214, No 2 (2016)
- Pages: 220-228
- Section: Article
- URL: https://journals.rcsi.science/1072-3374/article/view/237360
- DOI: https://doi.org/10.1007/s10958-016-2770-9
- ID: 237360
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Abstract
A stationary autoregression process given by a difference stochastic equation is characterized by a two-dimensional covariance matrix under stationarity conditions. The optimal estimator function represented by a square variation of the martingale is used to obtain consistent estimators for the parameter of a predictable component.
About the authors
Dmitri Koroliouk
Institute of Telecommunications and Global Information Space of the NAS of Ukraine
Author for correspondence.
Email: dimitri.koroliouk@ukr.net
Ukraine, Kiev
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