Asymptotically optimal estimator of the parameter of semi-linear autoregression
The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if...
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| Дата: | 2007 |
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| Автор: | |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4475 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
irk-123456789-4475 |
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dspace |
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irk-123456789-44752009-11-20T12:00:29Z Asymptotically optimal estimator of the parameter of semi-linear autoregression Ivanenko, D. The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if time is continuous) on some random Lipschitz functions is constructed. Asymptotic optimality of this estimators is investigated. 2007 Article Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4475 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if time is continuous) on some random Lipschitz functions is constructed. Asymptotic optimality of this estimators is investigated. |
| format |
Article |
| author |
Ivanenko, D. |
| spellingShingle |
Ivanenko, D. Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| author_facet |
Ivanenko, D. |
| author_sort |
Ivanenko, D. |
| title |
Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_short |
Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_full |
Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_fullStr |
Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_full_unstemmed |
Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_sort |
asymptotically optimal estimator of the parameter of semi-linear autoregression |
| publisher |
Інститут математики НАН України |
| publishDate |
2007 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4475 |
| citation_txt |
Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ. |
| work_keys_str_mv |
AT ivanenkod asymptoticallyoptimalestimatoroftheparameterofsemilinearautoregression |
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2023-03-24T08:30:19Z |
| last_indexed |
2023-03-24T08:30:19Z |
| _version_ |
1796139184503652352 |