Stationary statistical experiments and the optimal estimator for a predictable component
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 par...
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| Published in: | Український математичний вісник |
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| Date: | 2015 |
| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Інститут прикладної математики і механіки НАН України
2015
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/140874 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Stationary statistical experiments and the optimal estimator for a predictable component / D. Koroliouk // Український математичний вісник. — 2015. — Т. 12, № 3. — С. 390-402. — Бібліогр.: 11 назв. — англ. |