On guaranteed estimation of the spectral density of an autoregression - moving average process — National Research Tomsk Polytechnic University

Abstract

An estimator is suggested for the spectral density of an autoregression-moving average process with a given mean-square error. The estimator construction uses an approach of sequential analysis which assumes the special choice of the observations termination moment depending on estimation accuracy. An asymptotic formula is obtained for the average observations number.

Original language	English
Pages (from-to)	92-107
Number of pages	16
Journal	Problemy Peredachi Informatsii
Volume	38
Issue number	1
Publication status	Published - 2002

ASJC Scopus subject areas

Electrical and Electronic Engineering

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title = "On guaranteed estimation of the spectral density of an autoregression - moving average process",

abstract = "An estimator is suggested for the spectral density of an autoregression-moving average process with a given mean-square error. The estimator construction uses an approach of sequential analysis which assumes the special choice of the observations termination moment depending on estimation accuracy. An asymptotic formula is obtained for the average observations number.",

author = "Konev, {V. V.} and Shapovalov, {D. V.}",

year = "2002",

language = "English",

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pages = "92--107",

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AB - An estimator is suggested for the spectral density of an autoregression-moving average process with a given mean-square error. The estimator construction uses an approach of sequential analysis which assumes the special choice of the observations termination moment depending on estimation accuracy. An asymptotic formula is obtained for the average observations number.

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