Minimax prediction of random processes with stationary increments from observations with stationary noise
DOI10.1080/23311835.2015.1133219zbMath1426.62276OpenAlexW2280997290MaRDI QIDQ4966725
Maksym Luz, Mikhail P. Moklyachuk
Publication date: 27 June 2019
Published in: Cogent Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/23311835.2015.1133219
mean square errorleast favorable spectral densityminimax spectral characteristicminimax robust estimaterandom process with stationary increments
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)
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