ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE

DOI10.1111/j.1467-9892.1984.tb00389.xzbMath0576.62090OpenAlexW2024787133MaRDI QIDQ3696351

Jürgen Franke

Publication date: 1984

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1984.tb00389.x

zbMATH Keywords

interpolationtime seriescorrelated noiselinear predictionmean-square errorrobust predictorsrobust interpolation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (7)

Minimax Prediction Problem for Multidimensional Stationary Stochastic Processes ⋮ Filtration of linear functionals of periodically correlated sequences ⋮ Optimal linear interpolation of multiple missing values ⋮ Minimax-robust prediction of discrete time series ⋮ On the stability of the geostatistical method ⋮ Filtering of multidimensional stationary sequences with missing observations ⋮ Interpolation of periodically correlated stochastic sequences

Cites Work

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• The prediction theory of multivariate stochastic processes. III: Unbounded spectral densities
• Lectures on mathematical theory of extremum problems. Translated from the Russian by D. Louvish
• Minimax-robust prediction of discrete time series
• Robust Hypothesis Testing and Robust Time Series Interpolation And Regression
• ROBUST REGRESSION AND INTERPOLATION FOR TIME SERIES

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