On sequential estimation of the parameters of continuous-time trigonometric regression

被引：1

作者：

Emel'yanova, T. V. ^{[1
]}

Konev, V. V. ^{[1
]}

机构：

[1] Tomsk State Univ, Tomsk 634050, Russia

来源：

AUTOMATION AND REMOTE CONTROL | 2016年 / 77卷 / 06期

关键词：

Intelligent systems - Parameter estimation - Maximum likelihood estimation - Continuous time systems;

D O I：

10.1134/S0005117916060059

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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 stopping time defined by a sample Fischer information matrix was proposed. It ensures a given mean square accuracy of estimates uniformly over some parametric region. The results of Monte Carlo simulation of the sequential procedure were presented and compared with the maximum likelihood estimates.

引用

页码：992 / 1008

页数：17