Interpolation of periodically correlated stochastic sequences

DOI10.1090/S0094-9000-2012-00862-4zbMath1411.60050MaRDI QIDQ2849244

I. I. Dubovets'Ka, O. Yu. Masyutka, Mikhail P. Moklyachuk

Publication date: 17 September 2013

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

mean square error; robust estimate; least favorable spectral density; minimax spectral characteristic; periodically correlated sequence

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

60G10: Stationary stochastic processes

93E10: Estimation and detection in stochastic control theory

60G35: Signal detection and filtering (aspects of stochastic processes)

60G25: Prediction theory (aspects of stochastic processes)

Related Items

Minimax prediction of random processes with stationary increments from observations with stationary noise, Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences, Minimax-robust filtering of functionals from periodically correlated random fields, Minimax interpolation of harmonizable sequences, Extrapolation of periodically correlated stochastic processes observed with noise, Minimax-robust filtering problem for stochastic sequences with stationary increments, Interpolation of stationary sequences observed with a noise

Cites Work

• A predicton problem in game theory
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Minimax-robust prediction of discrete time series
• Extrapolation of multidimensional stationary processes
• ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
• Periodically Correlated Random Sequences
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