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Estimation of a Multivariate Mean with Constraints on the Norm

โœ Scribed by Eric Marchand


Book ID
115057102
Publisher
John Wiley and Sons
Year
1993
Tongue
French
Weight
378 KB
Volume
21
Category
Article
ISSN
0319-5724

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Sequential Estimation of the Mean Vector
โœ I. Fakhrezakeri; S.Y. Lee ๐Ÿ“‚ Article ๐Ÿ“… 1993 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 378 KB

Sequential procedures are proposed to estimate the unknown mean vector of a multivariate linear process of the form \(\mathbf{X}_{t}-\boldsymbol{\mu}=\sum_{j=0}^{x} A_{j} \mathbf{Z}_{i-j}\), where the \(\mathbf{Z}_{i}\) are i.i.d. \((0, \Sigma)\) with unknown covariance matrix \(\Sigma\). The propos