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

Fingerprint Dive into the research topics of 'On guaranteed estimation of the spectral density of an autoregression - moving average process'. Together they form a unique fingerprint.

Cite this

@article{fcfc08e19d444b3cb0341b960760cb05,

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",

volume = "38",

pages = "92--107",

journal = "Problemy Peredachi Informatsii",

issn = "0555-2923",

publisher = "Izdatel'stvo Nauka",

number = "1",

}

TY - JOUR

T1 - On guaranteed estimation of the spectral density of an autoregression - moving average process

AU - Konev, V. V.

AU - Shapovalov, D. V.

PY - 2002

Y1 - 2002

N2 - 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.

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.

UR - http://www.scopus.com/inward/record.url?scp=0036034065&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0036034065&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:0036034065

VL - 38

SP - 92

EP - 107

JO - Problemy Peredachi Informatsii

JF - Problemy Peredachi Informatsii

SN - 0555-2923

IS - 1

ER -

On guaranteed estimation of the spectral density of an autoregression - moving average process

Abstract

ASJC Scopus subject areas

Other files and links

Cite this