Statistical estimates of an unknown autoregression function

Article type: Research Article

Authors: Baltrūnas, Jonas | Rudzkienė, Vitalija

Affiliations: Institute for Physical and Engineering Problems of Energy Research, Lithuanian Academy of Sciences, 233684 Kaunas, Metalo St.4, Lithuania

Abstract: In the paper a general approach to identification of non-linear autoregression processes in the class of parametric and non-parametric mathematical models is formulated. With the help of mathematical simulation the estimates of the processes of this class are studied: a nuclear estimate, an estimate of least squares projective estimates. Some statistical properties of these estimates are indicated.

Keywords: non-linear autoregression processes, parametric and non-parametric mathematical models, mathematical simulation, statistical estimation

DOI: 10.3233/INF-1990-1202

Journal: Informatica, vol. 1, no. 2, pp. 35-52, 1990