On the statistical analysis of quantized Gaussian AR(1) processes

M. Rasonyi

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

A discrete-time stable Gaussian autoregressive process is considered, which is observed with a fixed precision only. A law of large numbers-uniformly in the autoregression, mean and variance parameters-is proved for the log-likelihood function of the observations through establishing a mixing property. Exponential stability of the corresponding filter is also derived.

Original languageEnglish
Pages (from-to)490-507
Number of pages18
JournalInternational journal of adaptive control and signal processing
Issue number6
Publication statusPublished - Jun 2010

Keywords / Materials (for Non-textual outputs)

  • system identification
  • Gaussian ARMA processes
  • quantized observations
  • law of large numbers
  • log-likelihood function
  • maximum likelihood estimators


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