Filtration of linear functionals of periodically correlated sequences
DOI10.1090/S0094-9000-2013-00888-6zbMath1353.60041OpenAlexW1971040830MaRDI QIDQ2922888
I. I. Dubovets'Ka, Mikhail P. Moklyachuk
Publication date: 15 October 2014
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0094-9000-2013-00888-6
mean square errorrobust estimateleast favorable spectral densityminimax spectral characteristicperiodically correlated sequence
Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)
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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
- ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
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