This article is cited in 3 papers

Stochastic Systems

Estimation of the autoregression parameter with infinite dispersion of noise

A. S. Markov

Tomsk State University

Abstract: To estimate the unknown autoregression parameter in the case when noise has an infinite dispersion, the weighted estimate by the least-squares method is suggested. The limit distribution of the error of estimation is obtained. It is shown that the weighted estimate is asymptotically more exact in comparison with the common estimate by the least-squares method.

PACS: 05.45.Tp

Presented by the member of Editorial Board: A. V. Nazin

Received: 23.07.2007

 English version: Automation and Remote Control, 2009, 70:1, 92–106

Bibliographic databases:

• 
• 
• 
•