Stationary statistical experiments and the optimal estimator for a predictable component

• Published in: Український математичний вісник
• Date: 2015
• Main Author: Koroliouk, D.
• Format: Article
• Language: English
• Published: Інститут прикладної математики і механіки НАН України 2015
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/140874
• 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.

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...