On sequential estimation of the parameters of continuous-time trigonometric regression T. V. Emel'yanova, V. V. Konev
Material type:
ArticleSubject(s): тригонометрическая регрессия | Орнштейна-Уленбека процесс | гауссовский шумGenre/Form: статьи в журналах Online resources: Click here to access online
In:
Automation and remote control Vol. 77, № 6. P. 992-1008Abstract: 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.
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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.
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