Guaranteed parameter estimation of stochastic linear regression by sample of fixed size
The method of parameter estimation of the multivariate linear regression by sample of fixed size is proposed. This method makes possible to get the parameter estimators with guaranteed accuracy in the mean square sense. There are constructed and investigated the truncated sequential estimators of ARARCH(1,1), AR(1) and AR(2). Asymptotic efficiency of the parameter estimator AR(1) with unknown noise variance is established.
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Keywords
гарантированная точность, модель ARARCH, усеченные последовательные оценки, процесс авторегрессии, guaranteed accuracy, оценивание параметров, truncated sequential estimators, ARARCH model, parameter estimation, autoregressive processAuthors
| Name | Organization | |
| Dogadova T.V. | Tomsk State University | aurora1900@mail.ru |
| Vasiliev V.A. | Tomsk State University | vas@mail.tsu.ru |
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