Robust linear interpolation and extrapolation of stationary time series in L^p
DOI10.1111/JTSA.12502zbMATH Open1455.62174OpenAlexW2969848339MaRDI QIDQ5111843FDOQ5111843
Yujie Xue, Yan Liu, 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
Recommendations
stationary processinterpolation problemprediction problemdual extremal problemextrapolation problemharmonizable stable processminimax extrapolator and interpolator
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Stationary stochastic processes (60G10) Numerical interpolation (65D05) Estimation and detection in stochastic control theory (93E10)
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Cited In (11)
- On minimax interpolation of stationary sequences
- Second-order robustness for time series inference
- ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
- Minimax filtering of sequences with periodically stationary increments
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- Robust procedures in time series analysis
- Stability of trigonometric approximation in \(L^p\) and applications to prediction theory
- Robust interpolation of sequences with periodically stationary multiplicative seasonal increments
- An optimal linear interpolator for a class of stationary processes
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- Robust empirical likelihood for time series
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