Minimax-robust prediction of discrete time series
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Publication:3322936
DOI10.1007/BF00532645zbMath0537.60034MaRDI QIDQ3322936
Publication date: 1985
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)
62M20: Inference from stochastic processes and prediction
62B10: Statistical aspects of information-theoretic topics
60G25: Prediction theory (aspects of stochastic processes)
Related Items
Robust Kalman tracking and smoothing with propagating and non-propagating outliers, Minimax filtration of linear transformations of stationary sequences, Robust prediction and interpolation for vector stationary processes, On minimax filtration of vector processes, Universal prediction of random binary sequences in a noisy environment, Interpolation of periodically correlated stochastic sequences, Minimax Prediction Problem for Multidimensional Stationary Stochastic Processes, Extrapolation of multidimensional stationary processes, ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
Cites Work
- The prediction theory of multivariate stochastic processes. III: Unbounded spectral densities
- Robust linear extrapolations of second-order stationary processes
- Lectures on mathematical theory of extremum problems. Translated from the Russian by D. Louvish
- Robust Wiener- Kolmogorov theory
- ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
- Extension to the maximum entropy method II
- Some recent advances in time series modeling
- Stable and efficient lattice methods for linear prediction
- Efficient solution of covariance equations for linear prediction
- Extension to the maximum entropy method
- Robust Estimation of a Location Parameter
- Notes on maximum-entropy processing (Corresp.)
- When is an altoregressive scheme stationary
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