Filtration of linear functionals of periodically correlated sequences

DOI10.1090/S0094-9000-2013-00888-6MaRDI QIDQ2922888zbMATH OpenOpenAlexFDO

Authors I. I. Dubovets'ka, M. P. Moklyachuk

Publication date 15 October 2014

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

Full work available at URL https://doi.org/10.1090/s0094-9000-2013-00888-6

zbMATH Keywords

least favorable spectral densitymean square errorminimax spectral characteristicperiodically correlated sequencerobust estimate

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cites work

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Cited in

(9)

• Minimax-robust filtering of functionals from periodically correlated random fields
• Interpolation of periodically correlated stochastic sequences
• Filtering of periodically correlated processes
• Extrapolation problem for functionals from a periodically correlated sequence
• Estimates of functionals constructed from random sequences with periodically stationary increments
• A linear filter for the operational prediction of a periodically correlated process
• The maximum prediction error for periodically correlated sequences
• 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

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