Teoriya Veroyatnostei i ee Primeneniya
 RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB
 General information Latest issue Archive Impact factor Subscription Guidelines for authors Submit a manuscript Search papers Search references RSS Latest issue Current issues Archive issues What is RSS

 Teor. Veroyatnost. i Primenen.: Year: Volume: Issue: Page: Find

 Teor. Veroyatnost. i Primenen., 1961, Volume 6, Issue 2, Pages 182–193 (Mi tvp4765)

On Linear Estimation Theory for an Infinite Number of Observations

J. Hájek

Prague

Abstract: We consider a stochastic process, subject to the condition that it be representable as a linear combination of a finite number of given functions (the coefficients of the linear combination are assumed to be independent). Among the linear functionals of the stochastic process it is required to find the best unbiased estimate for the linear form of the independent coefficients. The existence of such an estimate is established in Theorem 3.1. The results obtained are natural generalizations of the classical method of least squares to the case of Hilbert space. The given problem can also be considered as a generalization of the well-known problem of Zadeh and Ragazzini [2] on the estimation of a polynomial form against a background of a stationary signal and stationary noise.

Full text: PDF file (1220 kB)

English version:
Theory of Probability and its Applications, 1961, 6:2, 166–177

Language:

Citation: J. Hájek, “On Linear Estimation Theory for an Infinite Number of Observations”, Teor. Veroyatnost. i Primenen., 6:2 (1961), 182–193; Theory Probab. Appl., 6:2 (1961), 166–177

Citation in format AMSBIB
\Bibitem{Haj61} \by J.~H\'ajek \paper On Linear Estimation Theory for an Infinite Number of Observations \jour Teor. Veroyatnost. i Primenen. \yr 1961 \vol 6 \issue 2 \pages 182--193 \mathnet{http://mi.mathnet.ru/tvp4765} \transl \jour Theory Probab. Appl. \yr 1961 \vol 6 \issue 2 \pages 166--177 \crossref{https://doi.org/10.1137/1106021}