Extrapolation of multidimensional stationary processes

DOI10.1515/156939706778239819MaRDI QIDQ3440799zbMATH OpenOpenAlexFDO

Authors Aleksandr Yu. Masyutka, M. P. Moklyachuk

Publication date 29 May 2007

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/156939706778239819

zbMATH Keywords

least favourable spectral densitymean square errorminimax-robust spectral characteristicsmultidimensional stationary processoptimal linear estimatespectral characteristics

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

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Cites work

• A predicton problem in game theory
• A view of three decades of linear filtering theory
• An analysis of the effects of spectral uncertainty on Wiener filtering
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• scientific article; zbMATH DE number 1833992 (Why is no real title available?)
• Minimax-robust prediction of discrete time series

Cited in

(14)

• Extrapolation from a finite interval for a stationary process of a particular form
• On one statistical model of error rate in the stream of packet data transmission through communication channels
• Interpolation of periodically correlated stochastic sequences
• Minimax prediction problem for multidimensional stationary stochastic processes
• scientific article; zbMATH DE number 3874449 (Why is no real title available?)
• Extrapolation of Stationary Random Fields
• scientific article; zbMATH DE number 4155719 (Why is no real title available?)
• On extrapolation problem for multidimensional stationary sequence
• scientific article; zbMATH DE number 3896013 (Why is no real title available?)
• scientific article; zbMATH DE number 1833992 (Why is no real title available?)
• scientific article; zbMATH DE number 912585 (Why is no real title available?)
• Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences
• Robust estimation problems for stochastic processes
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