Minimax-robust prediction of discrete time series

DOI10.1007/BF00532645MaRDI QIDQ3322936zbMATH OpenOpenAlexFDO

Authors Jürgen Franke

Publication date 1985

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00532645

zbMATH Keywords

maximum entropyprediction errorrobust predictorspectral density

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Statistical aspects of information-theoretic topics (62B10) Inference from stochastic processes and prediction (62M20)

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Cites work

• Efficient solution of covariance equations for linear prediction
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• Extension to the maximum entropy method II
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• ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
• Robust Estimation of a Location Parameter
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• Robust Wiener- Kolmogorov theory
• Some recent advances in time series modeling
• Stable and efficient lattice methods for linear prediction
• The prediction theory of multivariate stochastic processes. III: Unbounded spectral densities
• When is an altoregressive scheme stationary

Cited in

(27)

• Robust prediction and interpolation for vector stationary processes
• Robust Kalman tracking and smoothing with propagating and non-propagating outliers
• On minimax filtration of vector processes
• Universal prediction of random binary sequences in a noisy environment
• Estimation problems for periodically correlated isotropic random fields
• Minimax-robust filtering of functionals from periodically correlated random fields
• Minimax interpolation of harmonizable sequences
• Interpolation of periodically correlated stochastic sequences
• Minimax prediction problem for multidimensional stationary stochastic processes
• Filtration of linear functionals of periodically correlated sequences
• Interpolation of functionals of stochastic sequences with stationary increments
• Minimax-robust filtering problem for stochastic sequences with stationary increments
• Interpolation of stationary sequences observed with a noise
• Estimates of functionals constructed from random sequences with periodically stationary increments
• Minimax interpolation of sequences with stationary increments and cointegrated sequences
• Extrapolation of multidimensional stationary processes
• ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
• Maximum entropy and robust prediction on a simplex
• Minimax prediction of random processes with stationary increments from observations with stationary noise
• Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences
• Robust linear interpolation and extrapolation of stationary time series in \(L^p\)
• Filtering of multidimensional stationary sequences with missing observations
• Minimax interpolation of stochastic processes with stationary increments from observations with noise
• scientific article; zbMATH DE number 4186757 (Why is no real title available?)
• Distributionally Robust Inventory Control When Demand Is a Martingale
• Minimax Prediction of Sequences with Periodically Stationary Increments Observed with Noise and Cointegrated Sequences
• Minimax filtration of linear transformations of stationary sequences

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