Estimation of the autoregression parameter with infinite dispersion of noise

被引：0
|
作者：
A. S. Markov
机构：
[1] Tomsk State University,
来源：
Automation and Remote Control | 2009年 / 70卷
关键词：
05.45.Tp;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：92 / 106
页数：14
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