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On sequential estimation of the parameters of continuous-time trigonometric regression

  • Stochastic Systems, Queueing Systems
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Abstract

Consideration was given to the problem of estimating the parameters of a trigonometric regression with the Gaussian Ornstein–Uhlenbeck noise. One-step sequential estimation procedure with a special stopping time defined by a sample Fischer information matrix was proposed. It ensures a given mean square accuracy of estimates uniformly over some parametric region. The results of Monte Carlo simulation of the sequential procedure were presented and compared with the maximum likelihood estimates.

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Authors and Affiliations

  1. Tomsk State University, Tomsk, Russia

    T. V. Emel’yanova & V. V. Konev

Authors
  1. T. V. Emel’yanova
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  2. V. V. Konev
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Correspondence to T. V. Emel’yanova.

Additional information

Original Russian Text © T.V. Emel’yanova, V.V. Konev, 2016, published in Avtomatika i Telemekhanika, 2016, No. 6, pp. 61–80.

This paper was recommended for publication by A.V. Nazin, a member of the Editorial Board

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Emel’yanova, T.V., Konev, V.V. On sequential estimation of the parameters of continuous-time trigonometric regression. Autom Remote Control 77, 992–1008 (2016). https://doi.org/10.1134/S0005117916060059

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  • DOI: https://doi.org/10.1134/S0005117916060059

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