On Frequency Estimation for Partially Observed System with Small Noises in State and Observation Equations

On Frequency Estimation for Partially Observed System with Small Noises in State and Observation Equations

We consider the problem of frequency estimation of the periodic signal multiplied by a Gaussian process (Ornstein-Uhlenbeck) and observed in the presence of the white Gaussian noise. We demonstrate the consistency and asymptotic normality of the maximum likelihood and Bayesian estimators in the sens...

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Bibliographic Details
Main Authors: Oleg V. Chernoyarov, Yury A. Kutoyants, Mariana Marcokova
Format: Article
Language:English
Published: University of Žilina 2018-03-01
Series:Communications
Subjects:
partially observed linear system
stochastic signal
frequency estimator
maximum likelihood method
bayesian approach
characteristics of estimators
small noise asymptotic
Online Access:https://komunikacie.uniza.sk/artkey/csl-201801-0011_on-frequency-estimation-for-partially-observed-system-with-small-noises-in-state-and-observation-equations.php

Internet

https://komunikacie.uniza.sk/artkey/csl-201801-0011_on-frequency-estimation-for-partially-observed-system-with-small-noises-in-state-and-observation-equations.php

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