Robust linear extrapolations of second-order stationary processes

DOI10.1214/AOP/1176995479MaRDI QIDQ1246788zbMATH OpenOpenAlexFDO

Authors Yuzo Hosoya

Publication date 1978

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176995479

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Prediction theory (aspects of stochastic processes) (60G25)

Cited in

(11)

• Qualitative robustness in time series
• A theory of robust long-run variance estimation
• Robust linear interpolation and extrapolation of stationary time series in \(L^p\)
• Modeling temporal functions with granular regression and fuzzy rules
• Discriminant analysis for locally stationary processes
• Robust Hypothesis Testing and Robust Time Series Interpolation And Regression
• Minimax-robust prediction of discrete time series
• Minimax interpolation of continuous time stochastic processes with periodically correlated increments observed with noise
• An analysis of the effects of spectral uncertainty on Wiener filtering
• ROBUST REGRESSION AND INTERPOLATION FOR TIME SERIES
• Robust prediction and interpolation for vector stationary processes

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