Abstract
An estimate and a confidence interval are constructed for the Baxter parameter of a pseudo-Gaussian random process with the help of the Levi-Baxter-Gladyshev theorem for weighted variations. An essential advantage of the proposed estimation method is that it estimates a process not from its realizations but from its observations at discrete moments of time.
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References
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Translated from Kibernetika i Sistemnyi Analiz, No. 3, pp. 76–83, May–June 2006.
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Vovk, L.B. Estimation of some parameters of pseudo-Gaussian random processes. Cybern Syst Anal 42, 372–378 (2006). https://doi.org/10.1007/s10559-006-0074-7
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DOI: https://doi.org/10.1007/s10559-006-0074-7