Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences (Q4966753)
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scientific article; zbMATH DE number 7074290
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| English | Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences |
scientific article; zbMATH DE number 7074290 |
Statements
Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences (English)
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27 June 2019
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stochastic sequence with stationary increments
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cointegrated sequence
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minimax-robust estimate
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mean square error
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least favourable spectral density
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minimax-robust spectral characteristic
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0.9335194230079652
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0.9128987789154052
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0.8580465912818909
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0.8577491044998169
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0.8575654625892639
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