Minimax Prediction Problem for Multidimensional Stationary Stochastic Processes

DOI10.1080/03610926.2011.581190zbMath1279.60046MaRDI QIDQ2890101

Mikhail P. Moklyachuk, Aleksandr Yu. Masyutka

Publication date: 8 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.581190

zbMATH Keywords

mean square error; robust estimate; least favorable spectral density; stationary stochastic process; minimax spectral characteristic

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

93E11: Filtering in stochastic control theory

60G10: Stationary stochastic processes

93C41: Control/observation systems with incomplete information

93E10: Estimation and detection in stochastic control theory

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

Related Items

Minimax-robust filtering problem for stochastic sequences with stationary increments

Cites Work

• A predicton problem in game theory
• An analysis of the effects of spectral uncertainty on Wiener filtering
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Minimax-robust prediction of discrete time series
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• Robust techniques for signal processing: A survey
• ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
• A view of three decades of linear filtering theory
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