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Stationary statistical experiments and the optimal estimator for a predictable component

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Abstract

A stationary autoregression process given by a difference stochastic equation is characterized by a two-dimensional covariance matrix under stationarity conditions. The optimal estimator function represented by a square variation of the martingale is used to obtain consistent estimators for the parameter of a predictable component.

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Authors and Affiliations

  1. Institute of Telecommunications and Global Information Space of the NAS of Ukraine, Kiev, Ukraine

    Dmitri Koroliouk

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  1. Dmitri Koroliouk
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Correspondence to Dmitri Koroliouk.

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Translated from Ukrains’kiĭ Matematychnyĭ Visnyk, Vol. 12, No. 3, pp. 390–401, July–August, 2015.

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Koroliouk, D. Stationary statistical experiments and the optimal estimator for a predictable component. J Math Sci 214, 220–228 (2016). https://doi.org/10.1007/s10958-016-2770-9

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  • DOI: https://doi.org/10.1007/s10958-016-2770-9

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