Linear mean estimation of weakly stationary stochastic processes under the aspects of optimality and asymptotic optimality (Q1177213): Difference between revisions
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Latest revision as of 11:27, 15 May 2024
scientific article
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English | Linear mean estimation of weakly stationary stochastic processes under the aspects of optimality and asymptotic optimality |
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Linear mean estimation of weakly stationary stochastic processes under the aspects of optimality and asymptotic optimality (English)
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26 June 1992
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The authors consider the problem of estimating the mean of a weakly stationary process given its spectral measure. Using orthogonality polynomials, they derive explicit forms for optimal linear unbiased estimators of the mean in a wide class of such processes. They also derive forms for asymptotically optimal estimators of the mean of an ARMA process. In all cases, the asymptotic MSE is given.
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weakly stationary process
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spectral measure
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orthogonal polynomials
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explicit forms for optimal linear unbiased estimators
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asymptotically optimal estimators
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ARMA process
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asymptotic MSE
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convergence rates
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asymptotically optimal linear unbiased mean estimators
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