INVARIANT ESTIMATION OF STOCHASTIC SYSTEM PARAMETERS.

Abstract

The report is concerned with the estimation of the statistics of a class of random processes. Properties of a new constant risk estimator of the autocorrelation function for exponentially correlated processes are studied analytically. The results are applied to computer-generated random processes and the estimates found are compared with the results of more common estimation methods, such as autoregressive estimation. The effect of increasing the amount of data and changing the input distribution is examined both analytically and experimentally. (Author)

Document Details

Document Type
Technical Report
Publication Date
May 01, 1966
Accession Number
AD0640020

Entities

People

  • Guener Suezek
  • Leonard Shaw

Organizations

  • New York University Tandon School of Engineering

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Autocorrelation
  • Computers
  • Computing-Related Activities
  • Correlation Techniques
  • Data Science
  • Estimators
  • Information Science
  • Interdisciplinary Science
  • Mathematics
  • Statistical Analysis
  • Statistics

Fields of Study

  • Mathematics

Readers

  • Approximation Theory.