Confidence estimation of autoregressive parameters based on noisy data
We consider the problem of estimating the parameters of an autoregressive process based on observations with additive noise. A sequential method has been developed for constructing a fixed-size confidence domain with a given confidence factor for a vector of unknown parameters based on a finite samp...
| Published in: | Automation and remote control Vol. 82, № 6. P. 1030-1048 |
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| Format: | Article |
| Language: | English |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/koha:000901385 Перейти в каталог НБ ТГУ |
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| 100 | 1 | |a Konev, Victor V. |9 97657 | |
| 245 | 1 | 0 | |a Confidence estimation of autoregressive parameters based on noisy data |c V. V. Konev, A. V. Pupkov |
| 336 | |a Текст | ||
| 337 | |a электронный | ||
| 504 | |a Библиогр.: 29 назв. | ||
| 520 | 3 | |a We consider the problem of estimating the parameters of an autoregressive process based on observations with additive noise. A sequential method has been developed for constructing a fixed-size confidence domain with a given confidence factor for a vector of unknown parameters based on a finite sample. Formulas are obtained for the duration of a procedure that achieves the required performance of estimates of unknown parameters in the case of Gaussian noise. Confidence parameter estimates are constructed using a special sequential modification of the classic Yule-Walker estimates; this permits one to estimate the confidence factor for small and moderate sample sizes. The results of numerical modeling of the proposed estimates are presented and compared with the Yule-Walker estimates using the example of confidence estimation of spectral density. | |
| 653 | |a авторегрессионные процессы | ||
| 653 | |a аддитивный шум | ||
| 653 | |a оценивание параметров | ||
| 653 | |a Юла-Уокера оценки | ||
| 655 | 4 | |a статьи в журналах |9 879358 | |
| 700 | 1 | |a Pupkov, Andrey V. |9 809669 | |
| 773 | 0 | |t Automation and remote control |d 2021 |g Vol. 82, № 6. P. 1030-1048 |x 0005-1179 | |
| 852 | 4 | |a RU-ToGU | |
| 856 | 4 | |u http://vital.lib.tsu.ru/vital/access/manager/Repository/koha:000901385 | |
| 856 | |y Перейти в каталог НБ ТГУ |u https://koha.lib.tsu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=901385 | ||
| 908 | |a статья | ||
| 999 | |c 901385 |d 901385 | ||
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