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Estimation of quadratic functions of the Bernoulli parameter in inverse sampling method

โœ Scribed by K. Dutta


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
348 KB
Volume
52
Category
Article
ISSN
0378-3758

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An estimator of the inverse covariance m
โœ B. David; G. Bastin ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 202 KB

An exact formula of the inverse covariance matrix of an autoregressive stochastic process is obtained using the Gohberg}Semencul explicit inverse of the Toeplitz matrix. This formula is used to build an estimator of the inverse covariance matrix of a stochastic process based on a single realization.