EMPIRICAL TRANSFORM ESTIMATIONQiwei

نویسنده

  • Qiwei Yao
چکیده

The paper starts with a brief review of methods of model-tting using empirical transforms. We then present a method for estimating the parameters in indexed stochastic models via a least-squares approach based on empirical transforms. Asymptotic approximations are derived for the mean squared error and for the distribution of the resulting estimator. The explicit expression for the mean squared error provides a natural way of selecting the transform variable. A common nding when multi-parameter models are tted using transforms is that optimal performance results from equating the elements of the transform vector. We provide a natural condition, and indicate why this result occurs under this condition. Numerical examples illustrate the performance of the new method.

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تاریخ انتشار 1996