This article is cited in 1 paper

Stochastic Systems, Queuing Systems

On sequential estimation of the parameters of continuous-time trigonometric regression

T. V. Emel'yanova, V. V. Konev

Tomsk State University, Tomsk, Russia

Abstract: 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.

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

Received: 02.07.2014

 English version: Automation and Remote Control, 2016, 77:6, 992–1008

Bibliographic databases:

• 
• 
• 
•