Non-asymptotic Confidence Estimation of the Autoregressive Parameter in AR(1) Process with an Unknown Noise Variance; Austrian Journal of Statistics; Vol. 49, № 4 : Special Issue CDAM 2019
| Parent link: | Austrian Journal of Statistics Vol. 49, № 4 : Special Issue CDAM 2019.— 2020.— [P. 19-26] |
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| Egile nagusia: | |
| Erakunde egilea: | |
| Beste egile batzuk: | |
| Gaia: | Title screen The paper considers the estimation problem of the autoregressive parameter in the first-order autoregressive process with Gaussian noises when the noise variance is unknown. We propose a non-asymptotic technique to compensate the unknown variance, and then, to construct a point estimator with any prescribed mean square accuracy. Also a fixed-width confidence interval with any prescribed coverage accuracy is proposed. The results of Monte-Carlo simulations are given. |
| Hizkuntza: | ingelesa |
| Argitaratua: |
2020
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| Gaiak: | |
| Sarrera elektronikoa: | https://doi.org/10.17713/ajs.v49i4.1121 |
| Formatua: | Baliabide elektronikoa Liburu kapitulua |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=663397 |
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| 200 | 1 | |a Non-asymptotic Confidence Estimation of the Autoregressive Parameter in AR(1) Process with an Unknown Noise Variance |f S. E. Vorobeychikov, Yu. B. Burkatovskaya | |
| 203 | |a Text |c electronic | ||
| 300 | |a Title screen | ||
| 330 | |a The paper considers the estimation problem of the autoregressive parameter in the first-order autoregressive process with Gaussian noises when the noise variance is unknown. We propose a non-asymptotic technique to compensate the unknown variance, and then, to construct a point estimator with any prescribed mean square accuracy. Also a fixed-width confidence interval with any prescribed coverage accuracy is proposed. The results of Monte-Carlo simulations are given. | ||
| 461 | |t Austrian Journal of Statistics | ||
| 463 | |t Vol. 49, № 4 : Special Issue CDAM 2019 |v [P. 19-26] |d 2020 | ||
| 610 | 1 | |a электронный ресурс | |
| 610 | 1 | |a труды учёных ТПУ | |
| 610 | 1 | |a autoregressive process | |
| 610 | 1 | |a non-asymptotic estimation | |
| 610 | 1 | |a confidence interval | |
| 610 | 1 | |a авторегрессионные процессы | |
| 610 | 1 | |a неассоциативная алгебра | |
| 610 | 1 | |a доверительные интервалы | |
| 700 | 1 | |a Vorobeychikov |b S. E. |g Sergey Erikovich | |
| 701 | 1 | |a Burkatovskaya |b Yu. B. |c mathematician |c associate Professor of Tomsk Polytechnic University, candidate of physico-mathematical Sciences |f 1973- |g Yuliya Borisovna |3 (RuTPU)RU\TPU\pers\36259 |9 19335 | |
| 712 | 0 | 2 | |a Национальный исследовательский Томский политехнический университет |b Инженерная школа информационных технологий и робототехники |b Отделение информационных технологий |3 (RuTPU)RU\TPU\col\23515 |
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| 856 | 4 | |u https://doi.org/10.17713/ajs.v49i4.1121 | |
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