Interpolation of functionals of stochastic sequences with stationary increments
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least favorable spectral densitymean square errorminimax spectral characteristicrobust estimatorstationary increments
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 prediction (62M20) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)
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Cites work
- A predicton problem in game theory
- Correlation theory of processes with random stationary 𝑛th increments
- Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
- Game theory and convex optimization methods in robust estimation problems
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- Minimax-robust prediction of discrete time series
- Robust procedures in time series analysis
- Wiener-Kolmogorov predicting for stationary processes
Cited in
(13)- Minimax interpolation of harmonizable sequences
- Interpolation of functionals of stochastic sequences with stationary increments from observations with noise
- Minimax-robust filtering problem for stochastic sequences with stationary increments
- Interpolation of stationary sequences observed with a noise
- scientific article; zbMATH DE number 6011588 (Why is no real title available?)
- Estimates of functionals constructed from random sequences with periodically stationary increments
- Minimax interpolation of sequences with stationary increments and cointegrated sequences
- scientific article; zbMATH DE number 1791785 (Why is no real title available?)
- 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 prediction of sequences with periodically stationary increments
- Minimax interpolation of stochastic processes with stationary increments from observations with noise
- Minimax interpolation of continuous time stochastic processes with periodically correlated increments observed with noise
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