Interpolation of functionals of stochastic sequences with stationary increments
DOI10.1090/S0094-9000-2014-00908-4zbMath1343.60039OpenAlexW2064205548MaRDI QIDQ2923386
M. M. Luz, 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/s0094-9000-2014-00908-4
mean square errorstationary incrementsrobust estimatorleast favorable spectral densityminimax spectral characteristic
Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)
Related Items (6)
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
- Correlation theory of processes with random stationary 𝑛th increments
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