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Parametric estimation for the mean of a Gaussian process by the method of sieves

โœ Scribed by Anestis Antoniadis


Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
791 KB
Volume
26
Category
Article
ISSN
0047-259X

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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