Optimal Input Design for Parameter Estimation in AR(1) with Dependent Stationary Noise

10/26/2017

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by   Chunhao Cai, et al.

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This paper focus on the asymptotical input and the asymptotical properties of the MLE of the drift parameter in the Autoregressive of order 1 (AR(1)) driven by an regular stationary noises (with dependence). The Laplace Transform computations will be the main tool for our analysis.