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

T. V. Emel’yanova, V. V. Konev

    Research output: Contribution to journalArticle

    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.

    Original languageEnglish
    Pages (from-to)992-1008
    Number of pages17
    JournalAutomation and Remote Control
    Volume77
    Issue number6
    DOIs
    Publication statusPublished - 1 Jun 2016

    ASJC Scopus subject areas

    • Control and Systems Engineering

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