Estimates of functionals constructed from random sequences with periodically stationary increments

DOI10.1090/tpms/1050zbMath1409.60051OpenAlexW2917427770WikidataQ128334546 ScholiaQ128334546MaRDI QIDQ3120620

P. S. Kozak, Mikhail P. Moklyachuk

Publication date: 5 March 2019

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1050

zbMATH Keywords

mean square errorrobust estimateleast favorable spectral densityminimax spectral characteristicssequence with periodically stationary increments

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) 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)

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