Sequential Estimation of the Mean Vector
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I. Fakhrezakeri; S.Y. Lee
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Article
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1993
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Elsevier Science
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English
โ 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