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Approximate estimation methods for the moments of stochastic processes

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Abstract

This paper studies estimation methods for the statistical characteristics of stochastic processes with measuring the number of crossings of a certain level by a stochastic process and overshoot durations. The authors present approximate computing formulas for mathematical expectation and variance.

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References

  1. Levin, B.R., Teoreticheskie osnovy statisticheskoi radiotekhniki (Theoretical Foundations of Statistical Radio Engineering), Moscow: Sovetskoe Radio, 1966.

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  2. Pashchenko, F.F., Vvedenie v sostoyatel’nye metody modelirovaniya sistem, ch. 1: Matematicheskie osnovy modelirovaniya sistem (Introduction to Consistent Methods of Systems Modeling, vol. 1: Mathematical Methods of System Modelling), Moscow: Finansy i Statistika, 2006.

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Author information

Authors and Affiliations

  1. Moscow Power Engineering Institute (National Research University), Moscow, Russia

    G. A. Pikina

  2. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

    F. F. Pashchenko

Authors
  1. G. A. Pikina
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  2. F. F. Pashchenko
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Corresponding author

Correspondence to G. A. Pikina.

Additional information

Original Russian Text © G.A. Pikina, F.F. Pashchenko, 2012, published in Datchiki i Sistemy, 2012, No. 12, pp. 18–21.

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Pikina, G.A., Pashchenko, F.F. Approximate estimation methods for the moments of stochastic processes. Autom Remote Control 75, 1484–1490 (2014). https://doi.org/10.1134/S0005117914080128

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  • DOI: https://doi.org/10.1134/S0005117914080128

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