Minimax prediction of sequences with periodically stationary increments

DOI10.15330/CMP.13.2.352-376zbMATH Open1480.60085OpenAlexW3199804462WikidataQ114007008 ScholiaQ114007008MaRDI QIDQ5037401FDOQ5037401

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)

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

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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)

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
• The maximum prediction error for periodically correlated sequences
• Estimates of functionals constructed from random sequences with periodically stationary increments
• Robust interpolation of sequences with periodically stationary multiplicative seasonal increments
• Minimax Prediction of Sequences with Periodically Stationary Increments Observed with Noise and Cointegrated Sequences

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