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

V. V. Konev, D. V. Shapovalov

    Research output: Contribution to journal › Article

    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 languageEnglish
    Pages (from-to)92-107
    Number of pages16
    JournalProblemy Peredachi Informatsii
    Volume38
    Issue number1
    Publication statusPublished - 2002

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    Spectral density
    Mean square error

    ASJC Scopus subject areas

    • Electrical and Electronic Engineering

    Cite this

    On guaranteed estimation of the spectral density of an autoregression - moving average process. / Konev, V. V.; Shapovalov, D. V.

    In: Problemy Peredachi Informatsii, Vol. 38, No. 1, 2002, p. 92-107.

    Research output: Contribution to journal › Article

    Konev, VV & Shapovalov, DV 2002, 'On guaranteed estimation of the spectral density of an autoregression - moving average process', Problemy Peredachi Informatsii, vol. 38, no. 1, pp. 92-107.
    Konev VV, Shapovalov DV. On guaranteed estimation of the spectral density of an autoregression - moving average process. Problemy Peredachi Informatsii. 2002;38(1):92-107.
    Konev, V. V. ; Shapovalov, D. V. / On guaranteed estimation of the spectral density of an autoregression - moving average process. In: Problemy Peredachi Informatsii. 2002 ; Vol. 38, No. 1. pp. 92-107.
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