Sequential Estimation of the Parameter of a Stochastic Difference Equation with Random Coefficients

DOI10.1137/1137096zbMATH Open0806.62064OpenAlexW2066477282MaRDI QIDQ4030693FDOQ4030693

Authors: Albert N. Shiryaev, Serguei Pergamenchtchikov 

Publication date: 1 April 1993

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1137096

Recommendations

• Estimation of parameters of linear stochastic difference equations.
• On the estimation of an autoregressive parameter on the basis of the generalized method of least squares
• A difference equation for statistical estimation and prediction
• Sequential parameter estimation with guaranteed mean-square accuracy for unstable linear stochastic systems
• Publication:4734617

zbMATH Keywords

uniform asymptotic normalityasymptotically minimax

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

Cited In (6)

• Asymptotic expansions in sequential estimation for the first-order random coefficient autoregressive model: Regenerative approach
• Uniform Markov renewal theory and ruin probabilities in Markov random walks.
• Stability of stochastic 2-D systems
• Estimating the generalized autoregression model parameters for unknown noise distribution
• A difference equation for statistical estimation and prediction
• Title not available (Why is that?)

This page was built for publication: Sequential Estimation of the Parameter of a Stochastic Difference Equation with Random Coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4030693)