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- W2252861362 abstract "Summary In this paper the guaranteed parameter estimation problem of a general multivariate regression model is solved. The truncated sequential estimator of the dynamic parameter is constructed by sample of fixed size. At the same time this method makes possible to obtain estimators with a given mean square accuracy. Three examples are given. In the first example the parameter estimation problem of ARARCH(1,1) is con-sidered. It is supposed that the unknown parameter belongs to the whole line. The presented estimator has given mean square accuracy and the same rate of convergence as the least squares estimator in the stable case. Similar results were obtained for the stable AR(1) and AR(2) model of a special type. Asymptotic op-timality in the minimax sense for the truncated sequential estimator of AR(1) is proved. Results of simulation confirm the efficiency of the presented estimation procedure. Truncated sequential estimators can be successfully used similar to sequential estimators (see, e.g., [14]) as a pilot estimators in various adaptive procedures (prediction, control, filtration etc.). REFERENCES" @default.
- W2252861362 created "2016-06-24" @default.
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- W2252861362 date "2014-01-01" @default.
- W2252861362 modified "2023-09-23" @default.
- W2252861362 title "Guaranteed parameter estimation of stochastic linear regression by sample of fixed size" @default.
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