Minimax prediction problem for multidimensional stationary stochastic processes

DOI10.1080/03610926.2011.581190zbMATH Open1279.60046OpenAlexW2022949162MaRDI QIDQ2890101FDOQ2890101

Authors: Aleksandr Yu. Masyutka, M. P. Moklyachuk 

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

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zbMATH Keywords

mean square errorrobust estimateleast favorable spectral densitystationary stochastic processminimax spectral characteristic

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stationary stochastic processes (60G10) Control/observation systems with incomplete information (93C41) Estimation and detection in stochastic control theory (93E10)

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Cited In (12)

• Minimax-robust filtering problem for stochastic sequences with stationary increments
• Functional estimation incorporating prior correlation information
• Wiener-Kolmogorov predicting for stationary processes
• Title not available (Why is that?)
• Minimax prediction of random processes with stationary increments from observations with stationary noise
• Title not available (Why is that?)
• Title not available (Why is that?)
• Minimax mutual prediction of multinomial random variables
• Title not available (Why is that?)
• Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences
• Minimax prediction problem for multidimensional stationary stochastic sequences
• Title not available (Why is that?)

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