Minimax prediction of sequences with periodically stationary increments

DOI10.15330/CMP.13.2.352-376MaRDI QIDQ5037401zbMATH OpenOpenAlexWikidataFDO

Authors P. S. Kozak, M. M. Luz, M. P. Moklyachuk

Publication date 1 March 2022

Published in Carpathian Mathematical Publications (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.15330/cmp.13.2.352-376

zbMATH Keywords

mean square errorleast favorable spectral densityminimax-robust estimateminimax spectral characteristicperiodically stationary increments

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Stationary stochastic processes (60G10)

Recommendations

• Minimax-robust estimation problems for sequences with periodically stationary increments observed with noise
• Estimates of functionals constructed from random sequences with periodically stationary increments
• Interpolation of functionals of stochastic sequences with stationary increments
• Minimax-robust filtering problem for stochastic sequences with stationary increments
• Interpolation of functionals of stochastic sequences with stationary increments from observations with noise

Cites work

• Filtering of multidimensional stationary sequences with missing observations

Cited in

(7)

• Minimax prediction of random processes with stationary increments from observations with stationary noise
• Minimax-robust estimation problems for sequences with periodically stationary increments observed with noise
• Periodic observations of harmonizable symmetric stable sequences
• Estimates of functionals constructed from random sequences with periodically stationary increments
• The maximum prediction error for periodically correlated sequences
• Robust interpolation of sequences with periodically stationary multiplicative seasonal increments
• Minimax Prediction of Sequences with Periodically Stationary Increments Observed with Noise and Cointegrated Sequences

This page was built for publication: Minimax prediction of sequences with periodically stationary increments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5037401)