Regularised estimators for fractional Gaussian noise
Allbwn ymchwil: Cyfraniad at gynhadledd › Papur › adolygiad gan gymheiriaid
Fersiynau electronig
Dangosydd eitem ddigidol (DOI)
There is significant interest in long-range dependent processes since they occur in a wide range of phenomena across different areas of study. Based on the available models capable of describing long-range dependence, various parameter estimation methods have been developed. This paper revisits the maximum likelihood estimator and its computationally efficient approximations: the Whittle Estimator and the Circulant Embedding estimator. Based on the properties of these, a regularisation method for datasets largely contaminated with errors is introduced.
| Iaith wreiddiol | Anadnabyddus |
|---|---|
| Tudalennau | 5025-5030 |
| Nifer y tudalennau | 6 |
| Dynodwyr Gwrthrych Digidol (DOIs) | |
| Statws | Cyhoeddwyd - 22 Chwef 2011 |
| Cyhoeddwyd yn allanol | Ie |
| Digwyddiad | 49th IEEE Conference on Decision and Control (CDC) - Atlanta, Yr Unol Daleithiau Hyd: 15 Rhag 2010 → 17 Rhag 2010 |
Cynhadledd
| Cynhadledd | 49th IEEE Conference on Decision and Control (CDC) |
|---|---|
| Gwlad/Tiriogaeth | Yr Unol Daleithiau |
| Dinas | Atlanta |
| Cyfnod | 15/12/10 → 17/12/10 |