On Guaranteed Estimation of the Spectral Density of an Autoregression–Moving Average Process.

Autor:	V. V. Konev, D. V. Shapovalov
Zdroj:	Problems of Information Transmission; Jan2002, Vol. 38 Issue 1, p80-95, 16p
Abstrakt:	An estimate for the spectral density of a stationary autoregression–moving average process with a given mean-square accuracy is proposed. In the construction of the estimate, we use the sequential analysis approach, which involves a special choice of the observation termination instant, depending on the estimation accuracy. An asymptotic formula for the average number of observations is obtained. [ABSTRACT FROM AUTHOR]
Databáze:	Complementary Index
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