Nonstationary Gauss-Markov Processes: Parameter Estimation and Dispersion

DOI10.1109/TIT.2021.3050342zbMath1473.62295arXiv1907.00304OpenAlexW3128001846WikidataQ114084343 ScholiaQ114084343MaRDI QIDQ5001640

Peida Tian, Victoria Kostina

Publication date: 22 July 2021

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.00304

zbMATH Keywords

tail probabilityestimation errortight nonasymptotic exponentially decaying bound

Mathematics Subject Classification ID

Gaussian processes (60G15) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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