Minimax interpolation of stochastic processes with stationary increments from observations with noise
DOI10.1090/tpms/1013zbMath1371.60064OpenAlexW2749715385MaRDI QIDQ5351668
M. M. Luz, Mikhail P. Moklyachuk
Publication date: 30 August 2017
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/tpms/1013
stochastic processmean square errorrobust estimatestationary incrementsleast favorable spectral densityminimax characteristic
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)
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Cites Work
- Minimax interpolation of sequences with stationary increments and cointegrated sequences
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