scientific article; zbMATH DE number 3909587
zbMATH Open0569.62083MaRDI QIDQ3685903FDOQ3685903
Authors: Jürgen Franke, H. Vincent Poor 
Publication date: 1984
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predictiontime seriesARMA modelsfilteringnonlinear estimationtime domain approachstationary stochastic processespartial knowledgeminimax criterionminimum mean-square errorfinite-length robust predictorsleast favorable case under uncertaintyMethods for constructing minimax filtersminimax-robust
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15)
Cited In (15)
- Minimax-robust filtering problem for stochastic sequences with stationary increments
- Minimax prediction of random processes with stationary increments from observations with stationary noise
- Filtering of multidimensional stationary sequences with missing observations
- Interpolation of functionals of stochastic sequences with stationary increments
- Minimax nonlinear filtering for multistage processes with uncertain distributions of disturbances
- Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences
- Minimax-robust prediction of discrete time series
- Robust techniques for signal processing: A survey
- Interpolation of periodically correlated stochastic sequences
- Filtration of linear functionals of periodically correlated sequences
- Minimax interpolation of continuous time stochastic processes with periodically correlated increments observed with noise
- Robust filtering and prediction for linear systems with uncertain dynamics: A game-theoretic approach
- Robust Kalman tracking and smoothing with propagating and non-propagating outliers
- Interpolation of stationary sequences observed with a noise
- Robust prediction and interpolation for vector stationary processes
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