Asymptotically optimal estimator of the parameter of semi-linear autoregression
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Asymptotically optimal estimator of the parameter of semi-linear autoregression
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| Creator |
Ivanenko, D.
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| Description |
The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if time is continuous) on some random Lipschitz functions is constructed. Asymptotic optimality of this estimators is investigated.
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| Date |
2009-11-19T10:08:35Z
2009-11-19T10:08:35Z 2007 |
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| Type |
Article
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| Identifier |
Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4475 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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