Minimax extrapolation problem for harmonizable stable processes with noise observations

MaRDI QIDQ5507316zbMATH OpenFDO

Authors V. I. Ostapenko, M. P. Moklyachuk

Publication date 16 December 2016

Full work available at URL https://arxiv.org/abs/1607.00754

zbMATH Keywords

harmonizable processleast favorable spectral densityminimax spectral characteristicoptimal linear estimaterobust estimate

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Stable stochastic processes (60G52) 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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Cited in

(2)

• On Minimality and Interpolation of Harmonizable Stable Processes
• Minimax interpolation of stochastic processes with stationary increments from observations with noise

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