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

V. V. Konev, D. V. Shapovalov

    Research output: Contribution to journalArticle

    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

    ASJC Scopus subject areas

    • Electrical and Electronic Engineering

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