On a Stochastic Renewal Problem (Q4954358)
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scientific article; zbMATH DE number 1456218
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| English | On a Stochastic Renewal Problem |
scientific article; zbMATH DE number 1456218 |
Statements
On a Stochastic Renewal Problem (English)
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6 June 2000
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minimax estimation
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recovery of a linear functional
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0.8500420451164246
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0.8316519856452942
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0.8013679385185242
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0.7993550300598145
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A certain minimax problem of recovering a linear functional on a normed space under random errors in observations is treated. For its known deterministic counterpart [see \textit{C. A. Micchelli} and \textit{T. J. Rivlin}, in: Optim. Estim. Approx. Theory, 1-54 (1978; Zbl 0386.93045)], by the Smolyak theorem, one can consider linear estimates only. Here the bounds for quality due to employing linear methods of recovery are obtained. When the observed information belongs to a finite-dimensional subspace, a new formalization of the initial problem is proposed. It is argued that in some cases this approach provides optimal solutions without passing to asymptotics in noise. Remark. The title of the paper should be: On a stochastic recovery problem.
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