Minimax interpolation of sequences with stationary increments and cointegrated sequences

DOI10.15559/16-VMSTA51zbMATH Open1351.49026arXiv1604.01603OpenAlexW3100343398MaRDI QIDQ340812FDOQ340812

Authors: Maksym Luz, M. P. Moklyachuk 

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: We consider the problem of optimal estimation of the linear functional $A_{N}xi=su{m}_{k=0}^{N}a(k)xi(k)$ depending on the unknown values of a stochastic sequence $xi(m)$ with stationary increments from observations of the sequence $xi(m)+eta(m)$ at points of the set $mathbbZsetminus0,1,2,ldots,N$, where $eta(m)$ is a stationary sequence uncorrelated with $xi(m)$. We propose formulas for calculating the mean square error and the spectral characteristic of the optimal linear estimate of the functional in the case of spectral certainty, where spectral densities of the sequences are exactly known. We also consider the problem for a class of cointegrated sequences. We propose relations that determine the least favorable spectral densities and the minimax spectral characteristics in the case of spectral uncertainty, where spectral densities are not exactly known while a set of admissible spectral densities is specified.

Full work available at URL: https://arxiv.org/abs/1604.01603

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zbMATH Keywords

mean square errorstationary incrementscointegrated sequencesleast favorable spectral densityminimax-robust estimateminimax-robust spectral characteristicstochastic sequence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Stationary stochastic processes (60G10) Optimality conditions for minimax problems (49K35)

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Cited In (6)

• Minimax interpolation of stochastic processes with stationary increments from observations with noise
• Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences
• Estimation of stochastic processes with stationary increments and cointegrated sequences
• Interpolation of functionals of stochastic sequences with stationary increments from observations with noise
• Robust interpolation of sequences with periodically stationary multiplicative seasonal increments
• Minimax Prediction of Sequences with Periodically Stationary Increments Observed with Noise and Cointegrated Sequences

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