Estimation of the stepwise random disturbance parameters with the unknown moment of appearance O. V. Chernoyarov, L. A. Golpayegani, A. V. Zakharov, K. S. Kalashnikov
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ArticleContent type: Текст Media type: электронный Subject(s): случайные процессы | метод максимального правдоподобия | параметрическая априорная неопределенность | метод локальной марковской аппроксимацииGenre/Form: статьи в журналах Online resources: Click here to access online
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Japan journal of industrial and applied mathematics Vol. 37, № 1. P. 81-102Abstract: We have carried out the synthesis of the joint algorithms for the estimation of the
parameters of Gaussian random disturbance by the maximum likelihood method.
Application of the generalization of local Markov approximation method and small
parameter method makes it possible for us to find the asymptotically exact expressions
for the characteristics of the specified estimates. We also establish the error range of
the obtained theoretical formulas experimentally, by statistical computer simulation.
Библиогр.: 28 назв.
We have carried out the synthesis of the joint algorithms for the estimation of the
parameters of Gaussian random disturbance by the maximum likelihood method.
Application of the generalization of local Markov approximation method and small
parameter method makes it possible for us to find the asymptotically exact expressions
for the characteristics of the specified estimates. We also establish the error range of
the obtained theoretical formulas experimentally, by statistical computer simulation.
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