| Autor: |
Sergey E. Vorobeychikov, Andrey V. Pupkov |
| Jazyk: |
angličtina |
| Rok vydání: |
2022 |
| Předmět: |
|
| Zdroj: |
Вестник Томского государственного университета. Управление, вычислительная техника и информатика. 2022. № 59. С. 83-90 |
| Popis: |
For parameter in an AR(1) process corrupted by noise, the paper proposes the construction of confi-dence interval for unknown parameter with a prescribed coverage probability. The noises both in observable and in unobservable processes are assumed to be Gaussian with unknown variance. The estimation procedure is non-asymptotic and uses a special stopping rule. The results of numerical simulation by Monte-Carlo method are presented. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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