Interpolation of periodically correlated stochastic sequences

DOI10.1090/S0094-9000-2012-00862-4zbMath1411.60050MaRDI QIDQ2849244

I. I. Dubovets'Ka, O. Yu. Masyutka, Mikhail P. Moklyachuk

Publication date: 17 September 2013

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

mean square errorrobust estimateleast favorable spectral densityminimax spectral characteristicperiodically correlated sequence

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stationary stochastic processes (60G10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (7)

Extrapolation of periodically correlated stochastic processes observed with noise ⋮ Minimax-robust filtering problem for stochastic sequences with stationary increments ⋮ Minimax prediction of random processes with stationary increments from observations with stationary noise ⋮ Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences ⋮ Minimax-robust filtering of functionals from periodically correlated random fields ⋮ Minimax interpolation of harmonizable sequences ⋮ Interpolation of stationary sequences observed with a noise

Cites Work

• A predicton problem in game theory
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Minimax-robust prediction of discrete time series
• Extrapolation of multidimensional stationary processes
• ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
• Periodically Correlated Random Sequences
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