On frequency estimation for partially observed system with small noises in state and observation equations
We consider the problem of frequency estimation of the periodic signal multiplied by a Gaussian process (Ornstein-Uhlenbeck) and observed in the presence of the white Gaussian noise. We demonstrate the consistency and asymptotic normality of the maximum likelihood and Bayesian estimators in the sens...
| Published in: | Communications - scientific letters of the University of Zilina Vol. 20, № 1. P. 67-72 |
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| Main Author: | |
| Other Authors: | , |
| Format: | Article |
| Language: | English |
| Subjects: | |
| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000675497 Перейти в каталог НБ ТГУ |
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| 039 | 9 | |a 202002251620 |c 202002251611 |d cat34 |c 202002251610 |d cat34 |c 202002141032 |d VLOAD |y 202002141019 |z Александр Эльверович Гилязов | |
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| 100 | 1 | |a Chernoyarov, Oleg V. |9 167444 | |
| 245 | 1 | 0 | |a On frequency estimation for partially observed system with small noises in state and observation equations |c O. V. Chernoyarov, Y. A. Kutoyants, M. Marcokova |
| 504 | |a Библиогр.: 13 назв. | ||
| 506 | |a Ограниченный доступ | ||
| 520 | 3 | |a We consider the problem of frequency estimation of the periodic signal multiplied by a Gaussian process (Ornstein-Uhlenbeck) and observed in the presence of the white Gaussian noise. We demonstrate the consistency and asymptotic normality of the maximum likelihood and Bayesian estimators in the sense of the small noise asymptotics. The model of observations is a linear nonhomogeneous partially observed system and the construction of the estimators is based on the Kalman-Bucy filtration equations. For the study of the properties of the estimators, we apply the techniques introduced by Ibragimov and Has'minskii. | |
| 653 | |a Орнштейна-Уленбека процесс | ||
| 653 | |a белый гауссовский шум | ||
| 653 | |a асимптотические свойства оценки максимального правдоподобия | ||
| 653 | |a Калмана-Бьюси фильтр | ||
| 655 | 4 | |a статьи в журналах |9 879358 | |
| 700 | 1 | |a Kutoyants, Yury A. |9 424456 | |
| 700 | 1 | |a Marcokova, Mariana |9 500298 | |
| 773 | 0 | |t Communications - scientific letters of the University of Zilina |d 2018 |g Vol. 20, № 1. P. 67-72 |x 1335-4205 | |
| 852 | 4 | |a RU-ToGU | |
| 856 | 4 | |u http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000675497 | |
| 856 | |y Перейти в каталог НБ ТГУ |u https://koha.lib.tsu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=463551 | ||
| 908 | |a статья | ||
| 999 | |c 463551 |d 463551 | ||