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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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