Estimation of the Autoregression Parameter with Infinite Dispersion of Noise1

  • Markov, A. S.

  • Tomsk State University, Tomsk, Russia

1This work was supported by the Russian Foundation for Basic Research, project no. 04-01-00855.

Received: 23 July 2006

Automation & Remote Control 70(1):p 92-106, January 2009.

To estimate the unknown autoregression parameter in the case when noise has an infinite dispersion, the weighted estimate by the least-squares method is suggested. The limit distribution of the error of estimation is obtained. It is shown that the weighted estimate is asymptotically more exact in comparison with the common estimate by the least-squares method.

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