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Asymptotically Optimal Estimator of the Parameter of Semi-Linear Autoregression
Martingale estimator optimization convergence
2010/4/30
The difference equations k = af(k−1) + "k, where ("k) is a square
integrable difference martingale, and the differential equation d =
−af()dt + d, where is a square integrable mar...
In this short preliminary note I apply the methodology of gametheoretic
probability to calculating non-asymptotic confidence intervals
for the coefficient of a simple first order scalar autoregressi...