ON ONE APPROACH TO ESTIMATION OF PARAMETERS OF A TWO-DIMENSIONAL PROCESS OF LINEAR DIFFUSION IN NONSTATIONARY CASE

被引：0

作者：

Startsev, A. N. ^{[1
]}

机构：

[1] Romanovskii Inst Math AN RUz, Tashkent 700143, Uzbekistan

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2015年 / 59卷 / 02期

关键词：

two-dimensional Gaussian process; linear diffusion; nonstationary case; parameter estimation; asymptotic properties;

D O I：

10.1137/S0040585X97T987120

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider estimations of parameters of a two-dimensional Markov Gaussian nonstationary process, given by a system of linear stochastic equations with two parameters, which are different from maximum likelihood estimates. We prove that these estimates are asymptotically normal and asymptotically independent, so this permits us to construct confidence intervals simultaneously for two parameters.

引用

页码：339 / 343

页数：5

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