Monotonic change point estimation in the mean vector of a multivariate normal process
โ Scribed by Movaffagh, Ali; Amiri, Amirhossein
- Book ID
- 120632842
- Publisher
- Springer
- Year
- 2013
- Tongue
- English
- Weight
- 419 KB
- Volume
- 69
- Category
- Article
- ISSN
- 0268-3768
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Let X1,..., XN be independent observations from Np(#, ~1) and Y1,..., YN be independent observations from Np(#, ~2). Assume that Xi's and Y~'s are independent. An unbiased estimator of/z which dominates the sample mean X for p \_> 1 under the loss function L(/z,/2) --(f~ -#)'~i-l(fL -/~) is suggeste
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