Estimation of the Autoregression Parameter with Infinite Dispersion of Noise

被引：1

作者：

Markov, A. S. ^{[1
]}

机构：

[1] Tomsk VV Kuibyshev State Univ, Tomsk 634050, Russia

来源：

AUTOMATION AND REMOTE CONTROL | 2009年 / 70卷 / 01期

基金：

俄罗斯基础研究基金会;

关键词：

05.45.Tp;

D O I：

10.1134/S000511790901007X

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

To estimate the unknown autoregression parameter in the case when noise has an infinite dispersion, the weighted estimate by the least-squares method is suggested. The limit distribution of the error of estimation is obtained. It is shown that the weighted estimate is asymptotically more exact in comparison with the common estimate by the least-squares method.

引用

页码：92 / 106

页数：15

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