Minimax filtration of linear transformations of stationary sequences
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robustspectral densityfilteringoptimal estimatorLeast favourable spectral densitieslinear least squares estimationlinear transformations of stationary sequencesminimax filtration
Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10)
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Cites work
- scientific article; zbMATH DE number 3771377 (Why is no real title available?)
- scientific article; zbMATH DE number 3215022 (Why is no real title available?)
- Minimax-robust prediction of discrete time series
- Robust techniques for signal processing: A survey
- Sufficient conditions for extremum, penalty functions and regularity
Cited in
(8)- On the problem of filtration of vector stationary sequences
- Minimax-robust filtering problem for stochastic sequences with stationary increments
- scientific article; zbMATH DE number 28610 (Why is no real title available?)
- A filtration of transformations of random sequences
- Filtering of measurement errors in the estimation of a linear transformation of a useful signal
- scientific article; zbMATH DE number 37802 (Why is no real title available?)
- Optimal linear contractive sequence transformations
- Minimax filtration of functions in \(L_ 2\)
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