Constructions of random distributions via sequential barycenters

DOI10.1214/AOS/1024691241MaRDI QIDQ1807138zbMATH OpenOpenAlexFDO

Authors Michael Monticino, Theodore P. Hill

Publication date 9 November 1999

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1024691241

zbMATH Keywords

estimationinterpolationminimax spectral characteristicspectral density

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)

Review text

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.

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Cites work

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Cited in

(8)

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• Choosing a random distribution with prescribed risks
• Comparison of Values of Independent Random Variables in a Bayesian Setting
• Estimation of the location and exponent of the spectral singularity of a long memory process
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• On the posterior distribution of classes of random means
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