On a Stochastic Renewal Problem

DOI10.1137/S0040585X9797688XMaRDI QIDQ4954358zbMATH OpenOpenAlexFDO

Authors B. S. Darkhovskij

Publication date 6 June 2000

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x9797688x

zbMATH Keywords

minimax estimationrecovery of a linear functional

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Review text

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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• A Collector's Problem with Renewal Arrival Processes
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• Some questions of restoring the elements of a compact set
• Non asymptotic minimax estimation of functionals with noisy observations
• Optimal recovery of a square integrable function from its observations with Gaussian errors
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