On Guaranteed Estimation of the Spectral Density of an Autoregression–Moving Average Process

被引：0
|
作者：
V. V. Konev
D. V. Shapovalov
机构：
来源：
Problems of Information Transmission | 2002年 / 38卷 / 1期
关键词：
Sequential Analysis; Analysis Approach; System Theory; Spectral Density; Estimation Accuracy;
D O I：
10.1023/A:1020050424620
中图分类号：
学科分类号：
摘要：
An estimate for the spectral density of a stationary autoregression–moving average process with a given mean-square accuracy is proposed. In the construction of the estimate, we use the sequential analysis approach, which involves a special choice of the observation termination instant, depending on the estimation accuracy. An asymptotic formula for the average number of observations is obtained.
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页码：80 / 95
页数：15
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