Robust prediction and interpolation for vector stationary processes

DOI10.1007/BF00344722MaRDI QIDQ1075686zbMATH OpenOpenAlexFDO

Authors Haralampos Tsaknakis, Dimitri Kazakos, P. Papantoni-Kazakos

Publication date 1986

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00344722

zbMATH Keywords

multivariate spectral classesrobust multivariate prediction and interpolation problemsstatistical contamination

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Stationary stochastic processes (60G10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(4)

• On the stability of the geostatistical method
• An optimal prediction in stationary random fields based on a new interpolation approach
• Robust calibration and arbitrage-free interpolation of SSVI slices
• Robust linear interpolation and extrapolation of stationary time series in \(L^p\)

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