Minimax prediction problem for multidimensional stationary stochastic processes

DOI10.1080/03610926.2011.581190MaRDI QIDQ2890101zbMATH OpenOpenAlexFDO

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

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)

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• Minimax prediction of random processes with stationary increments from observations with stationary noise
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• scientific article; zbMATH DE number 3424904 (Why is no real title available?)
• Minimax mutual prediction of multinomial random variables
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• Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences
• Minimax prediction problem for multidimensional stationary stochastic sequences
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