Skip to main content
SpringerLink
Log in

A note on a noise process

  • Veröffentlichungen
  • Published:
Metrika Aims and scope Submit manuscript

Zusammenfassung

In diesem Artikel wird das System der stochastischen Differentialgleichungen … betrachtet, worinx ein Spaltenvektor der Ordnungr, A eine quadratische Matrize der konstanten Elemente undε ein Vektor der zufälligen Funktionen ist. Dieses System wird umgeformt zum korrespondierenden System des weißen Rauschens. Eine Methode der Schätzung der Elemente der MatrizeA ist unter bestimmten Bedingungen eingeführt, deren Sicherheit auch untersucht wird.

Summary

In this article we considered the system of stochastic differential equations …, wherex is a column vector of orderr, A is a square matrix of constant coefficients andε is a vector of random functions. The system is transformed to the corresponding system of the white noise process. A method of estimation of the elements of the matrixA has been introduced under certain conditions, the assurance of which has been also investigated.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Bibliography

  1. Friedman, B.: Principles and Techniques of applied Mathematics. London 1956.

  2. Goode, Harry, H. and Robert, E. M.: “System Engineering”. New York 1957.

  3. Koopmans, T.: Statistical Inference in Dynamic Economic Models. New York 1950.

  4. Mann, H. B. and Wald, A.: On the Statistical treatment of linear stochastic difference equations. Econometrica 11 (1943), 173–220.

    Article  MATH  MathSciNet  Google Scholar 

  5. McCombie, C. W.: Fluctuation theory in physical measurements. Reports on Progress in Physics. 16 (1953), 266–320.

    Article  MathSciNet  Google Scholar 

  6. Rice, S. O.: Mathematical analysis of random noise. Bell system Tech. J. 23 (1944). 282–332; 24 (1945), 46–156.

    MATH  MathSciNet  Google Scholar 

  7. Tintner, G.: Econometrics. New York 1952.

Download references

Author information

Authors and Affiliations

  1. Faculty of Science, Mathematics Department, Alexandria, Egypt

    Saad K. Nasr

Authors
  1. Saad K. Nasr
    View author publications

    You can also search for this author in PubMed Google Scholar

Rights and permissions

Reprints and permissions

About this article

Cite this article

Nasr, S.K. A note on a noise process. Metrika 3, 46–52 (1960). https://doi.org/10.1007/BF02613437

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF02613437

Keywords

Search

Navigation