Minimax-robust forecasting of sequences with periodically stationary long memory multiple seasonal increments

arXiv2007.11581MaRDI QIDQ6345646FDOQ6345646

Authors: Maksym Luz, M. P. Moklyachuk 

Publication date: 22 July 2020

Abstract: We introduce stochastic sequences $zeta(k)$ with periodically stationary generalized multiple increments of fractional order which combines cyclostationary, multi-seasonal, integrated and fractionally integrated patterns. We solve the problem of optimal estimation of linear functionals constructed from unobserved values of stochastic sequences $zeta(k)$ based on their observations at points $k<0$. For sequences with known spectral densities, we obtain formulas for calculating values of the mean square errors and the spectral characteristics of the optimal estimates of functionals. Formulas that determine the least favorable spectral densities and minimax (robust) spectral characteristics of the optimal linear estimates of functionals are proposed in the case where spectral densities of sequences are not exactly known while some sets of admissible spectral densities are given.

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Stationary stochastic processes (60G10) Estimation and detection in stochastic control theory (93E10)

This page was built for publication: Minimax-robust forecasting of sequences with periodically stationary long memory multiple seasonal increments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6345646)