Minimax-robust prediction of discrete time series

DOI10.1007/BF00532645zbMath0537.60034MaRDI QIDQ3322936

Jürgen Franke

Publication date: 1985

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

prediction error; maximum entropy; spectral density; robust predictor

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62B10: Statistical aspects of information-theoretic topics

60G25: Prediction theory (aspects of stochastic processes)

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