Adaptive prediction of non-Gaussian Ornstein-Uhlenbeck process
This paper proposes adaptive predictors of non-Gaussian Ornstein-Uhlenbeck process with unknown parameters. Predictors are based on the truncated parameter estimators. Asymptotic and non-asymptotic properties of the predictors are investigated. In particular, there is found the rate of convergence o...
| Published in: | Вестник Томского государственного университета. Управление, вычислительная техника и информатика № 43. С. 26-32 |
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| Format: | Article |
| Language: | Russian |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000629345 Перейти в каталог НБ ТГУ |