Add to Quick Collection
All 11 Results
Showing items 1 - 11 of 11.
Add All Items to Quick Collection
Source: Sequential Analysis. 2022. Vol. 41, № 1. P. 119-141
Type: статьи в журналах
Date: 2022
Description:
By making use of Kullback-Leibler information, we develop a new approach for the quickest detection problem for general statistical models with dependent observations and unknown postchange distributi
... More
Source: Annals of the Institute of Statistical Mathematics. 2022. Vol. 74, № 4. P. 685-711
Type: статьи в журналах
Date: 2022
Description:
For parameters in a threshold autoregressive process, the paper proposes a sequential modification of the least squares estimates with a specific stopping rule for collecting the data for each paramet
... More
Source: Automation and remote control. 2021. Vol. 82, № 6. P. 1030-1048
Type: статьи в журналах
Date: 2021
Description:
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 confid
... More
Source: Annals of the Institute of Statistical Mathematics. 2020. Vol. 72, № 1. P. 235-264
Type: статьи в журналах
Date: 2020
Description:
For an autoregressive process of order p, the paper proposes new sequential estimates for the unknown parameters based on the least squares (LS) method. The sequential estimates use p stopping rules f
... More
Source: Sequential Analysis. 2017. Vol. 36, № 1. P. 55-75
Type: статьи в журналах
Date: 2017
Description:
The article considers the problem of estimating linear parameters in stochastic regression models with Gaussian noises, such as an autoregression of the first order, threshold autoregression, and some
... More
Source: Automation and remote control. 2017. Vol. 78, № 10. P. 1803-1818
Type: статьи в журналах
Date: 2017
Description:
We consider the problem of non-asymptotical confidence estimation of linear parameters in multidimensional dynamical systems defined by general regression models with discrete time and conditionally G
... More
Source: Doklady mathematics. 2016. Vol. 94, № 3. P. 676-680
Type: статьи в журналах
Date: 2016
Description:
A transformation of a discrete-time martingale with conditionally Gaussian increments into a sequence of i.i.d. standard Gaussian random variables is proposed as based on a sequence of stopping times
... More
Source: Automation and remote control. 2016. Vol. 77, № 6. P. 992-1008
Type: статьи в журналах
Date: 2016
Description:
Consideration was given to the problem of estimating the parameters of a trigonometric regression with the Gaussian Ornstein–Uhlenbeck noise. One-step sequential estimation procedure with a special st
... More
Source: Stochastic processes and their Applications. 2015. Vol. 125. P. 294-326
Type: статьи в журналах
Date: 2015
Source: Вестник Томского государственного университета. Математика и механика. 2009. № 3. С. 23-41
Type: статьи в журналах
Date: 2009
Description:
This paper considers the problem of estimating a periodic function in a continuoustime regression model with a general square integrable semimartingale noise. Amodel selection adaptive procedure is pr
... More
Source: Вестник Томского государственного университета. Математика и механика. 2009. № 4. С. 31-45
Type: статьи в журналах
Date: 2009
Description:
In this paper we prove the asymptotic efficiency of the model selection procedure proposed by the authors in [1]. To this end we introduce the robust risk as the least upper bound of the quadratical r
... More
