Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 2, Tome 244 (1997), pp. 271-284
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V. N. Solev; L. Gerville-Reache. The estimation of a function being observed with a stationary error. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 2, Tome 244 (1997), pp. 271-284. http://geodesic.mathdoc.fr/item/ZNSL_1997_244_a18/
@article{ZNSL_1997_244_a18,
author = {V. N. Solev and L. Gerville-Reache},
title = {The estimation of a function being observed with a stationary error},
journal = {Zapiski Nauchnykh Seminarov POMI},
pages = {271--284},
year = {1997},
volume = {244},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/ZNSL_1997_244_a18/}
}
TY - JOUR
AU - V. N. Solev
AU - L. Gerville-Reache
TI - The estimation of a function being observed with a stationary error
JO - Zapiski Nauchnykh Seminarov POMI
PY - 1997
SP - 271
EP - 284
VL - 244
UR - http://geodesic.mathdoc.fr/item/ZNSL_1997_244_a18/
LA - ru
ID - ZNSL_1997_244_a18
ER -
%0 Journal Article
%A V. N. Solev
%A L. Gerville-Reache
%T The estimation of a function being observed with a stationary error
%J Zapiski Nauchnykh Seminarov POMI
%D 1997
%P 271-284
%V 244
%U http://geodesic.mathdoc.fr/item/ZNSL_1997_244_a18/
%G ru
%F ZNSL_1997_244_a18
We suppose that we observe a process $y(t)$ when $t\in [-T,T]$, $$ y(t)\;=\;s(t)\;+\;x(t) \qquad (t \in [-T,T]), $$ where $s$ is an unknown function (which we must estimate), $x$ is a stationary noise. We compare the accuracy of the least-squares estimator $\bold s^*$ with the accuracy of the best linear unbiased estimator $\bold s^{\star}$.
