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.
ASJC Scopus subject areas
- Control and Systems Engineering