YULE-WALKER ESTIMATES AND ASYMPTOTIC I-DIVERGENCE RATE

被引：0
|
作者：
MICHALEK, J [1 ]
机构：
[1] CZECHOSLOVAK ACAD SCI,INST INFORMAT THEORY & AUTOMAT,CS-18208 PRAGUE 8,CZECHOSLOVAKIA
来源：
PROBLEMS OF CONTROL AND INFORMATION THEORY-PROBLEMY UPRAVLENIYA I TEORII INFORMATSII | 1990年 / 19卷 / 5-6期
关键词：
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The goal of the paper is to show a close connection between the Yule-Walker estimates and the so-called alpha-estimates, which were introduced and investigated by Vajda, see [1]. It is proved that the Yule-Walker estimates can be obtained by minimization of the asymtotic I-divergence rate between a probability measure corresponding to an autoregressive stationary random sequence and a suitable probability measure derived from observations.
引用
收藏
页码：387 / 398
页数：12
相关论文
共 50 条
12345