Minimax-robust filtering problem for stochastic sequences with stationary increments

DOI10.1090/S0094-9000-2015-00940-6zbMath1332.60059OpenAlexW1964045036MaRDI QIDQ2944758

M. M. Luz, Mikhail P. Moklyachuk

Publication date: 8 September 2015

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

Full work available at URL: https://doi.org/10.1090/s0094-9000-2015-00940-6

zbMATH Keywords

mean-square errorrobust estimatestationary incrementsleast favorable spectral densityfiltering problemminimax spectral characteristicstochastic sequences

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) 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 (6)

Minimax interpolation of sequences with stationary increments and cointegrated sequences ⋮ Approximate guaranteed mean square estimates of functionals on solutions of parabolic problems with fast oscillating coefficients under nonlinear observations ⋮ 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 ⋮ Filtering of multidimensional stationary sequences with missing observations ⋮ Estimates of functionals constructed from random sequences with periodically stationary increments

Cites Work

• A predicton problem in game theory
• Minimax filtration of linear transformations of stationary sequences
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Interpolation of periodically correlated stochastic sequences
• Minimax Prediction Problem for Multidimensional Stationary Stochastic Processes
• Interpolation of functionals of stochastic sequences with stationary increments
• Minimax-robust prediction of discrete time series
• Robust techniques for signal processing: A survey
• Correlation theory of processes with random stationary 𝑛th increments
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