Constructions of random distributions via sequential barycenters (Q1807138)

This article is a continuation of several pieces of work, mostly published in the Theory of Probability and Mathematical Statistics. The problem under consideration can be phrased in this way: two uncorrelated stationary processes \(\zeta(t)\) and \(\eta(t)\), \(t\) real, are considered. The focus is on estimating a linear functional of the values of \(\zeta(t)\), \(t\) in the bounded interval \([0,T]\), from the observations of \(\zeta(t)+ \eta(t)\), for \(t\) outside the interval \([0,T]\), where the spectral densities of \(\zeta\) and \(\eta\) are unknown, but satisfy certain conditions and belong to special classes of spectral densities. Mimimax spectral characteristic and least spectral densities are identified for various prescribed classes of spectral densities.