On the Estimation of the Mean in Stationary Processes
Teoriâ veroâtnostej i ee primeneniâ, Tome 4 (1959) no. 4, pp. 451-453
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The variance of the estimate $$m_{N+1}=\frac1{N+1}\sum_{i=0}^N\xi\left(\frac{i}{N}\cdot T\right)$$ of a mean of a stationary process $\xi(t)$ is shown to attain its minimum value for some finite $N$.
@article{TVP_1959_4_4_a7,
author = {S. Ya. Vilenkin},
title = {On the {Estimation} of the {Mean} in {Stationary} {Processes}},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {451--453},
year = {1959},
volume = {4},
number = {4},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1959_4_4_a7/}
}
S. Ya. Vilenkin. On the Estimation of the Mean in Stationary Processes. Teoriâ veroâtnostej i ee primeneniâ, Tome 4 (1959) no. 4, pp. 451-453. http://geodesic.mathdoc.fr/item/TVP_1959_4_4_a7/