Последовательный метод оценивания параметров авторегрессионной модели с непрерывным временем

Abstract

This article revisits a sequential approach to the estimation of the parameter in a first-order autoregressive model (AR(1)) with continuous time. There is provided a numerical study to get a results of sequential estimations of the parameter in first-order autoregressive model with continuous time and is computed a stopping rule and the optimal time of observations. Also there is provided a comparing analysis of estimation results with using the sequential approach both the optimal time of observations.