Geodesic
On sequential estimation of a periodic signal on the background of an autoregressive noise
Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika, no. 2 (2015), pp. 18-29 Cet article a éte moissonné depuis la source Math-Net.Ru

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We consider the problem of estimating coefficients of a trigonometric signal in a discrete time from observations with an additive noise described by a stationary autoregressive process with unknown parameters and unknown distribution. A one-step sequential procedure to estimate signal coefficients is proposed, which provides a given root-mean-square accuracy of estimates for any values of the nuisance parameters. An asymptotic formula for the mean duration of the procedure is constructed.
Keywords: sequential estimation, given root-mean-square accuracy, trigonometric regression, stopping time
Mots-clés : autoregressive noise. 
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T. V. Emelyanova; V. V. Konev. On sequential estimation of a periodic signal on the background of an autoregressive noise. Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika, no. 2 (2015), pp. 18-29. http://geodesic.mathdoc.fr/item/VTGU_2015_2_a1/

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