On Guaranteed Estimation of the Spectral Density of an Autoregression–Moving Average Process

  • Authors:

  • V. V. Konev;D. V. Shapovalov

  • Affiliations:

  • -;-

  • Venue:
  • Problems of Information Transmission
  • Year:
  • 2002

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Abstract

An estimate for the spectral density of a stationary autoregression–moving average process with a given mean-square accuracy is proposed. In the construction of the estimate, we use the sequential analysis approach, which involves a special choice of the observation termination instant, depending on the estimation accuracy. An asymptotic formula for the average number of observations is obtained.