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

least favorable spectral densitymean square errorminimax spectral characteristicminimax-robust estimateperiodically stationary increments

Mathematics Subject Classification ID

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

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Cites work

• Filtering of multidimensional stationary sequences with missing observations

Cited in

(8)

• Estimates of functionals constructed from random sequences with periodically stationary increments
• The maximum prediction error for periodically correlated sequences
• 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
• Robust interpolation of sequences with periodically stationary multiplicative seasonal increments
• Explicit Formula for the Best Linear Predictor of Periodically Correlated Sequences
• Periodic observations of harmonizable symmetric stable sequences
• Minimax Prediction of Sequences with Periodically Stationary Increments Observed with Noise and Cointegrated Sequences

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