𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Consistent covariance estimation for general classes of stationary discrete stochastic processes

✍ Scribed by F. Eicker

Publisher
Springer
Year
1966
Tongue
English
Weight
672 KB
Volume
5
Category
Article
ISSN
1432-2064

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

A New Class of Consistent Estimators for
A New Class of Consistent Estimators for Stochastic Linear Regressive Models
✍ Hong-Zhi An; Fred J Hickernell; Li-Xing Zhu πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 349 KB

In this paper we propose a new approach for estimating the unknown parameter in the stochastic linear regressive model with stationary ergodic sequence of covariates. Under mild conditions on the joint distribution of the covariate and the error, the estimator constructed is shown to be strongly con

Estimation of noise covariance matrices
Estimation of noise covariance matrices for a linear time-varying stochastic process
✍ Pierre R. BΓ©langer πŸ“‚ Article πŸ“… 1974 πŸ› Elsevier Science 🌐 English βš– 555 KB

An algorithm is given to estimate the noise eovariance matrices for a linear, discrete, time-varying stochastic system. If these matrices are linear with respect to a set of aparameters, it is found that the correlation products of the innovations sequence is also linear in these parameters. The fac