Sequential classification procedure for processes of autoregression with random coefficients
D. V. Kashkovsky
Tomsk
Pages: 67-76
Abstract
For classifying stable processes of autoregression with random coefficients and Gaussian noise, it is proposed to use a sequential procedure with a guaranteed probability of right decision. The lower bound for the probability of right classification and an asymptotic formula for mean procedure duration are obtained. Asymptotic normality of statistics used for classification is proved. Results of numerical modeling are presented.
