Robust linear interpolation and extrapolation of stationary time series in L^p

DOI10.1111/JTSA.12502MaRDI QIDQ5111843zbMATH OpenOpenAlexFDO

Authors Yan Liu, Yujie Xue, Masanobu Taniguchi

Publication date 27 May 2020

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

Full work available at URL https://doi.org/10.1111/jtsa.12502

zbMATH Keywords

dual extremal problemextrapolation problemharmonizable stable processinterpolation problemminimax extrapolator and interpolatorprediction problemstationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Numerical interpolation (65D05) Estimation and detection in stochastic control theory (93E10)

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Cites work

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Cited in

(14)

• An optimal linear interpolator for a class of stationary processes
• On minimax interpolation of stationary sequences
• Minimax filtering of sequences with periodically stationary increments
• Stability of trigonometric approximation in \(L^p\) and applications to prediction theory
• Robust procedures in time series analysis
• ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
• scientific article; zbMATH DE number 3930035 (Why is no real title available?)
• Robust empirical likelihood for time series
• Robust interpolation of sequences with periodically stationary multiplicative seasonal increments
• scientific article; zbMATH DE number 7660137 (Why is no real title available?)
• Second-order robustness for time series inference
• On nonrecurrence of nonlinear random time delay autoregressive models under random environment
• A minimum contrast estimation for spectral densities of multivariate time series
• Generalized linear spectral models for locally stationary processes

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