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
On the estimation of the mean of a stochastic process
✍ Scribed by Janusz Łaski; Aleksander Bzowy
- Publisher
- Elsevier Science
- Year
- 1975
- Tongue
- English
- Weight
- 248 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0005-1098
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