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

stationary processinterpolation problemprediction problemdual extremal problemextrapolation problemharmonizable stable processminimax extrapolator and interpolator

Mathematics Subject Classification ID

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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• Two problems in prediction theory

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
• scientific article; zbMATH DE number 7660137 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 3930035 (Why is no real title available?)
• Robust empirical likelihood for time series

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